A Probabilistic Approach to Large Time Behavior of Mild Solutions of HJB Equations in Infinite Dimension.

Authors
Publication date
2015
Publication type
Journal Article
Summary We study the large time behaviour of mild solutions of HJB equations in infinite dimension by a purely probabilistic approach. For that purpose, we show that the solution of a BSDE in finite horizon $T$ taken at initial time behaves like a linear term in $T$ shifted with the solution of the associated EBSDE taken at initial time. Moreover we give an explicit speed of convergence, which seems to appear very rarely in literature.
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Topics of the publication
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