Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations

2012/03/05 by Cruzeiro, Ana Bela, Gomes, André de Oliveira, Zhang, Liangquan
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1203.0862

Abstract

In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter ε >0. We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes.

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