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Ergodic BSDEs under weak dissipative assumptions. (English) Zbl 1221.60080
Summary: We study ergodic backward stochastic differential equations dropping the strong dissipativity assumption needed in [{\it M. Fuhrman, Y. Hu} and {\it G. Tessitore}, SIAM J. Control Optim. 48, No. 3, 1542--1566 (2009; Zbl 1196.60106)]. In other words, we do not need to require the uniform exponential decay of the difference of two solutions of the underlying forward equation, which, on the contrary, is assumed to be non-degenerate. We show the existence of solutions by the use of coupling estimates for a non-degenerate forward stochastic differential equation with bounded measurable nonlinearity. Moreover, we prove the uniqueness of “Markovian” solutions by exploiting the recurrence of the same class of forward equations. Applications are then given for the optimal ergodic control of stochastic partial differential equations and to the associated ergodic Hamilton-Jacobi-Bellman equations.

60H10Stochastic ordinary differential equations
93E20Optimal stochastic control (systems)
Full Text: DOI
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