Large deviations for backward stochastic differential equations driven by G-Brownian motion

DOI10.1007/S10959-020-01005-0zbMATH Open1482.60043arXiv2003.06953OpenAlexW3104667040MaRDI QIDQ2030998FDOQ2030998

Authors: Ibrahim Dakaou, Abdoulaye Soumana Hima 

Publication date: 8 June 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this paper, we consider forward-backward stochastic differential equation driven by $G$-Brownian motion ($G$-FBSDEs in short) with small parameter $varepsilon>0$. We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.

Full work available at URL: https://arxiv.org/abs/2003.06953

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zbMATH Keywords

large deviationsbackward SDEscontraction principle\(G\)-stochastic differential equation

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cited In (7)

• Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Rough asymptotics of forward-backward stochastic differential equations
• Large deviations of a forward backward stochastic differential equation.
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
• Large deviations for the backward stochastic differential equations
• Large deviation for multivalued backward stochastic differential equations

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