Large time behaviour of mild solutions of Hamilton-Jacobi-Bellman equations in infinite dimension by a probabilistic approach
Résumé
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.
Domaines
Probabilités [math.PR]
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Large_Time_Behavior_of_solutions_of_Hamilton-Jacobi-Bellman_equations_-_a_probabilistic_approach.pdf (361 Ko)
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