Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
From MaRDI portal
Publication:6232999
arXiv1205.3220MaRDI QIDQ6232999FDOQ6232999
Authors: Ana Bela Cruzeiro, André de Oliveira Gomes 
Publication date: 14 May 2012
Abstract: We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is multiplicatively perturbed by a small parameter that converges to zero. Furthermore, we establish a Large Deviation Principle for the laws of the corresponding processes.
This page was built for publication: Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6232999)
