Year: 2015
Type: preprint
Abstract: In this paper we consider ergodic optimal control of a diffusion process $\{X^u_t\}_{t \geq 0}$, taking values in $\bR^n$, where both drift and volatility are controlled. We establish a novel strong duality between the existence of a unique solution to the infinite horizon adjoint BSDE and strong dissipativity of $X^u$. We then proceed to show that the latter implies irreducibility, the strong Feller property and exponential ergodicity. We conclude by discussing the connection with ergodic BSDEs.
Source: arXiv (Cornell University)
Authors: Cohen, Samuel N., Fedyashov, Victor
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2270712234