Large deviations of a forward backward stochastic differential equation.

DOI10.1016/J.CRMA.2006.05.022MaRDI QIDQ2499744zbMATH OpenOpenAlexFDO

Authors Sophie Rainero

Publication date 14 August 2006

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2006.05.022

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic integral equations (60H20)

Recommendations

• Large deviations for the backward stochastic differential equations
• Large deviation for multivalued backward stochastic differential equations
• Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion
• Large deviations for stochastic differential equations with deviating arguments
• Large deviations for backward stochastic equations with quadratic growth
• scientific article; zbMATH DE number 4028507
• Publication:4889024
• Large deviations for a class of stochastic partial differential equations
• Forward-backward stochastic differential equations with nonsmooth coefficients.

Cited in

(15)

• Rough asymptotics of forward-backward stochastic differential equations
• Asymptotic properties of coupled forward-backward stochastic differential equations
• Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion
• Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations
• Large deviation principle for diffusion processes under a sublinear expectation
• Large deviations for the backward stochastic differential equations
• Large deviation principle for a backward stochastic differential equation with subdifferential operator
• On the existence, uniqueness, stability and the properties of large deviations of solutions of backward stochastic differential equations with random terminal time. Application to singular perturbation problems.
• Asymptotics for FBSDES with jumps and connections with partial integral differential equations
• Large deviation for multivalued backward stochastic differential equations
• BSDE with jumps and non-Lipschitz coefficients: application to large deviations
• Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
• Asymptotic behaviors for functionals of random dynamical systems
• Large deviation principle for backward stochastic differential equations with a stochastic Lipschitz condition on \(z\)
• Large deviations for backward stochastic equations with quadratic growth

This page was built for publication: Large deviations of a forward backward stochastic differential equation.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2499744)