Large Deviation for Reflected Backward Stochastic Differential Equations

2011/11/30 by Liangquan Zhang, Zhang, Liangquan
Economics, Econometrics and Finance · Engineering · Mathematics · #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #math.PR

paper · pdf · doi:10.48550/arxiv.1111.7189

arxiv created 2011/11/30 · arxiv updated 2011/12/01

Abstract

In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.

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