Infinite horizon BSDEs under consistent nonlinear expectations

Abstract This paper considers backward stochastic differential equations (BSDEs for short) on the infinite horizon under consistent nonlinear expectations which are dominated by consistent sublinear expectations. We derive the existence and uniqueness result by discretization and approximation method. Besides, we show the existence of the solution of Markovian ergodic BSDEs under G ˜ -expectations and state some applications.