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Article Dans Une Revue SIAM Journal on Control and Optimization Année : 2020

Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes

Ying Hu
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Résumé

We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward performance processes and their associated optimal trading strategies in a regime switching market. In addition, we develop a connection between the solution of the ergodic BSDE system and the long-term growth rate of classical utility maximization problems, and use the ergodic BSDE system to study the large time behavior of PDE systems with quadratic growth Hamiltonians.

Dates et versions

hal-02938705 , version 1 (15-09-2020)

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Ying Hu, Gechun Liang, Shanjian Tang. Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes. SIAM Journal on Control and Optimization, 2020, 58 (4), pp.2503-2534. ⟨10.1137/18M1234783⟩. ⟨hal-02938705⟩
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