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.2006.05.002zbMATH Open1111.60045OpenAlexW2009382758MaRDI QIDQ871045FDOQ871045

Sophie Rainero, Halim Doss

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

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zbMATH Keywords

large deviationsnonlinear partial differential equationforward backward stochastic differential equation

Mathematics Subject Classification ID

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

Cites Work

• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• \(L^p\) solutions of backward stochastic differential equations.
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• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
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• An introduction to the theory of large deviations
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
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• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
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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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