28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

Representation of limit values for nonexpansive stochastic differential games

31 août 2018 à 16:30
Angers - France

Angers - France


Juan Li (Shandong University, Weihai)


A classical problem in ergodic control theory consists in the study of the limit behaviour of
λV λ (·) as λ ↘ 0, when V λ is the value function of a deterministic or stochastic control problem
with discounted cost functional with infinite time horizon and discount factor λ. We study this
problem for the lower value function V λ of a stochastic differential game with recursive cost, i.e.,
the cost functional is defined through a backward stochastic differential equation with infinite
time horizon. But unlike the ergodic control approach, we are interested in the case where the
limit can be a function depending on the initial condition. For this we extend the so-called
non-expansivity assumption from the case of control problems to that of stochastic differential
Based on a joint work with Rainer Buckdahn (Brest, France), Nana Zhao (Weihai, China).

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