Large deviation principle for a backward stochastic differential equation driven by G-Brownian motion with subdifferential operator

2020/03/26 by Abdoulaye Soumana Hima, Hima, Abdoulaye Soumana, Ibrahim Dakaou +1
Economics, Econometrics and Finance · Mathematics · Social Sciences · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Insurance, Mortality, Demography, Risk Management

paper · pdf · doi:10.48550/arxiv.2004.00976

Abstract

In this paper, we study a large deviation principle for the solution of a backward stochastic differential equation driven by G-Brownian motion with subdifferential operator.

Related

• Large deviations for generalized backward stochastic differential equations
• Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
• Large Deviation Principle for Some Measure-Valued Processes
• Large Deviation Principles of Obstacle Problems for Quasilinear Stochastic PDEs
• Large Deviation for Reflected Backward Stochastic Differential Equations