BSDE with jumps and non-Lipschitz coefficients: application to large deviations

DOI10.1214/12-BJPS197zbMath1291.60123arXiv1210.1490OpenAlexW2035772078MaRDI QIDQ2448570

Ahmadou Bamba Sow

Publication date: 2 May 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.1490

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10)

Related Items (6)

Discontinuous backward doubly stochastic differential equations with Poisson jumps ⋮ Generalized fractional BSDE with non Lipschitz coefficients ⋮ Generalized fractional BSDE with jumps and Lipschitz coefficients ⋮ Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting ⋮ Asymptotics for FBSDES with Jumps and Connections with Partial Integral Differential Equations ⋮ \(L^p\)-solutions and comparison results for Lévy-driven backward stochastic differential equations in a monotonic, general growth setting

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