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- W4300108514 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." @default.
- W4300108514 created "2022-10-03" @default.
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- W4300108514 date "2015-09-01" @default.
- W4300108514 modified "2023-10-03" @default.
- W4300108514 title "Ergodic Backward Stochastic Difference Equations" @default.
- W4300108514 doi "https://doi.org/10.48550/arxiv.1509.00231" @default.
- W4300108514 hasPublicationYear "2015" @default.
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