Journal title
Stochastics
DOI
10.1080/17442508.2016.1224881
Issue
8
Volume
88
Last updated
2024-04-10T08:42:39.363+01:00
Page
1207-1239
Abstract
We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain this result, we use a Nummelin splitting argument to obtain ergodicity estimates for a discrete time Markov chain which hold uniformly under suitable perturbations of its transition matrix. We conclude with an application of this theory to a treatment of an ergodic control problem.
Symplectic ID
638038
Submitted to ORA
On
Favourite
Off
Publication type
Journal Article
Publication date
02 Sep 2016