Abstracts

In this paper we look at ergodic BSDEs in the case where the forward dynamics are given by a solution to a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck SDE with Lévy noise, taking values in a separable Hilbert space. We establish the existence of a unique bounded solution to an infinite horizon discounted BSDE. We then use the vanishing discount approach together with coupling techniques to obtain a Markovian solution to the EBSDE. We also prove uniqueness under certain growth conditions. Applications are then given, in particular to risk-averse ergodic optimal control and power plant evaluation under uncertainty.