Large deviation principle for a backward stochastic differential equation with subdifferential operator

DOI10.1016/J.CRMA.2007.10.044MaRDI QIDQ2473019zbMATH OpenOpenAlexWikidataFDO

Authors E. H. Essaky

Publication date 26 February 2008

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.2007.10.044

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A large deviation principle of reflecting diffusions
• An introduction to the theory of large deviations
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Large deviations of a forward backward stochastic differential equation.
• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• Stochastic differential equations with reflecting boundary conditions

Cited in

(9)

• Asymptotic properties of coupled forward-backward stochastic differential equations
• Large deviations for backward stochastic differential equations driven by \(G\)-Brownian motion
• Large deviation principle for diffusion processes under a sublinear expectation
• Large deviations for the backward stochastic differential equations
• Large deviation for mean-field stochastic differential equations with subdifferential operator
• Large deviation for multivalued backward stochastic differential equations
• BSDE with jumps and non-Lipschitz coefficients: application to large deviations
• Large deviation principle for backward stochastic differential equations with a stochastic Lipschitz condition on \(z\)
• Large deviations for backward stochastic equations with quadratic growth

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