Systems of ergodic BSDEs arising in regime switching forward performance processes

Ying Hu, Gechun Liang () and Shanjian Tang

Papers from arXiv.org

Abstract: 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.

Date: 2018-07, Revised 2020-06
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://arxiv.org/pdf/1807.01816 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.01816

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().