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

DOI10.1007/S10959-020-01005-0MaRDI QIDQ2030998zbMATH OpenOpenAlexFDO

Authors Ibrahim Dakaou, Abdoulaye Soumana Hima

Publication date 8 June 2021

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

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

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)

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.

Recommendations

• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Large deviation for multivalued backward stochastic differential equations
• Large deviations for the backward stochastic differential equations
• Rough asymptotics of forward-backward stochastic differential equations
• Large deviations of a forward backward stochastic differential equation.

Cites work

• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• scientific article; zbMATH DE number 3826915 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 194664 (Why is no real title available?)
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Large deviation for multivalued backward stochastic differential equations
• Large deviation principle for a backward stochastic differential equation with subdifferential operator
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Large deviations of a forward backward stochastic differential equation.
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition

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

This page was built for publication: Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2030998)