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Systems of ergodic BSDEs arising in regime switching forward performance processes
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Hu, Ying, Liang, Gechun and Tang, Shanjian (2020) Systems of ergodic BSDEs arising in regime switching forward performance processes. SIAM Journal on Control and Optimization, 58 (4). pp. 2503-2534. doi:10.1137/18M1234783 ISSN 0363-0129.
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Official URL: https://doi.org/10.1137/18M1234783
Abstract
We introduce and solve a new type of quadratic backward stochastic differential equation (BSDE) systems defined in an infinite time horizon, called 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.
Item Type: | Journal Article | |||||||||||||||
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Subjects: | Q Science > QA Mathematics | |||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||
Library of Congress Subject Headings (LCSH): | Differential equations | |||||||||||||||
Journal or Publication Title: | SIAM Journal on Control and Optimization | |||||||||||||||
Publisher: | Society for Industrial and Applied Mathematics | |||||||||||||||
ISSN: | 0363-0129 | |||||||||||||||
Official Date: | 24 August 2020 | |||||||||||||||
Dates: |
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Volume: | 58 | |||||||||||||||
Number: | 4 | |||||||||||||||
Page Range: | pp. 2503-2534 | |||||||||||||||
DOI: | 10.1137/18M1234783 | |||||||||||||||
Status: | Peer Reviewed | |||||||||||||||
Publication Status: | Published | |||||||||||||||
Reuse Statement (publisher, data, author rights): | “First Published in SIAM Journal on Control and Optimization in 58(4), published by the Society for Industrial and Applied Mathematics (SIAM)” © by SIAM. Unauthorized reproduction of this article is prohibited.”) | |||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||
Copyright Holders: | © 2020, Society for Industrial and Applied Mathematics | |||||||||||||||
Date of first compliant deposit: | 4 September 2020 | |||||||||||||||
Date of first compliant Open Access: | 8 September 2020 | |||||||||||||||
RIOXX Funder/Project Grant: |
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