Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

Ergodic BSDEs with unbounded and multiplicative underlying diffusion

Not scheduled
Angers - France

Angers - France


Mr Florian Lemonnier (Université Rennes1)


In this talk, we deal with Ergodic Backward Stochastic Differential Equations for which the
underlying SDE (in finite dimension) has a sublinear diffusion. Hu, Madec and Richou have recently studied those
equations, but with an additive noise (and in infinite dimension). First, we show existence and
uniqueness of the solution under assumptions similar to their work (especially weak dissipativity of the drift for the underlying SDE). Then, we obtain
the large time behaviour of viscosity solutions of HJB equations.

Primary authors

Mr Florian Lemonnier (Université Rennes1) Prof. Ying Hu (Université Rennes 1)

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