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)

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Cited in

(17)

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

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