Ergodic BSDEs Driven by Markov Chains
Ergodic BSDEs Driven by Markov Chains
We consider ergodic backward stochastic differential equations (BSDEs), in a setting where noise is generated by a countable state uniformly ergodic Markov chain. We show that for Lipschitz drivers such that a comparison theorem holds, these equations admit unique solutions. To obtain this result, we show by coupling and splitting …