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

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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