On the existence, uniqueness, stability and the properties of large deviations of solutions of backward stochastic differential equations with random terminal time. Application to singular perturbation problems.

DOI10.1016/J.BULSCI.2006.05.002MaRDI QIDQ871045zbMATH OpenOpenAlexFDO

Authors Halim Doss, Sophie Rainero

Publication date 15 March 2007

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2006.05.002

zbMATH Keywords

large deviationsnonlinear partial differential equationforward backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites work

• scientific article; zbMATH DE number 3876298 (Why is no real title available?)
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• An introduction to the theory of large deviations
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
• User’s guide to viscosity solutions of second order partial differential equations
• \(L^p\) solutions of backward stochastic differential equations.

Cited in

(2)

• Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations
• Large deviation principle for a backward stochastic differential equation with subdifferential operator

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