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Ergodic backward stochastic difference equations

Allan, Andrew L.; Cohen, Samuel N.

Ergodic backward stochastic difference equations Thumbnail


Samuel N. Cohen


We consider ergodic backward stochastic differential equations in a discrete time setting, where noise is generated by a finite state Markov chain. We show existence and uniqueness of solutions, along with a comparison theorem. To obtain this result, we use a Nummelin splitting argument to obtain ergodicity estimates for a discrete time Markov chain which hold uniformly under suitable perturbations of its transition matrix. We conclude with an application of this theory to a treatment of an ergodic control problem.


Allan, A. L., & Cohen, S. N. (2016). Ergodic backward stochastic difference equations. Stochastics: An International Journal of Probability and Stochastic Processes, 88(8), 1207-1239.

Journal Article Type Article
Acceptance Date Aug 5, 2016
Online Publication Date Sep 2, 2016
Publication Date 2016
Deposit Date Jan 24, 2023
Publicly Available Date Jan 26, 2023
Journal Stochastics
Print ISSN 1744-2508
Electronic ISSN 1744-2516
Publisher Taylor and Francis Group
Peer Reviewed Peer Reviewed
Volume 88
Issue 8
Pages 1207-1239


Accepted Journal Article (465 Kb)

Copyright Statement
This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastics on 02 September 2016, available at:

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