Ergodic BSDEs Driven by Markov Chains
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/120885875
Reference19 articles.
1. Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
2. Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs
3. Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
4. Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
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