A Probabilistic Approach to Large Time Behavior of Mild Solutions of Hamilton-Jacobi-Bellman Equations in Infinite Dimension
| hal.structure.identifier | Research and Development [General Motors] | |
| dc.contributor.author | HU, Ying | |
| hal.structure.identifier | Institut de Recherche Mathématique de Rennes [IRMAR] | |
| dc.contributor.author | MADEC, Pierre-Yves | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | RICHOU, Adrien | |
| dc.date.accessioned | 2024-04-04T03:19:28Z | |
| dc.date.available | 2024-04-04T03:19:28Z | |
| dc.date.issued | 2015 | |
| dc.identifier.issn | 0363-0129 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194511 | |
| dc.description.abstractEn | We study the large time behaviour of mild solutions of HJB equations in infinite dimension by a purely probabilistic approach. For that purpose, we show that the solution of a BSDE in finite horizon $T$ taken at initial time behaves like a linear term in $T$ shifted with the solution of the associated EBSDE taken at initial time. Moreover we give an explicit speed of convergence, which seems to appear very rarely in literature. | |
| dc.description.sponsorship | Centre de Mathématiques Henri Lebesgue : fondements, interactions, applications et Formation - ANR-11-LABX-0020 | |
| dc.language.iso | en | |
| dc.publisher | Society for Industrial and Applied Mathematics | |
| dc.subject.en | backward stochastic differential equations | |
| dc.subject.en | Ornstein-Uhlenbeck operator | |
| dc.subject.en | HJB equations in infinite dimension | |
| dc.subject.en | large time behavior | |
| dc.subject.en | mild solutions | |
| dc.subject.en | ergodic backward stochastic differential equations | |
| dc.title.en | A Probabilistic Approach to Large Time Behavior of Mild Solutions of Hamilton-Jacobi-Bellman Equations in Infinite Dimension | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.1137/140976091 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.subject.hal | Informatique [cs]/Recherche d'information [cs.IR] | |
| dc.identifier.arxiv | 1406.5993 | |
| bordeaux.journal | SIAM Journal on Control and Optimization | |
| bordeaux.page | 378-398 | |
| bordeaux.volume | 53 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 1 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01006336 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01006336v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=SIAM%20Journal%20on%20Control%20and%20Optimization&rft.date=2015&rft.volume=53&rft.issue=1&rft.spage=378-398&rft.epage=378-398&rft.eissn=0363-0129&rft.issn=0363-0129&rft.au=HU,%20Ying&MADEC,%20Pierre-Yves&RICHOU,%20Adrien&rft.genre=article |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||