Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle

2012/05/14 by Ana Bela Cruzeiro, Cruzeiro, Ana Bela, André de Oliveira Gomes +1
Computer Science · Mathematics · #Advanced Mathematical Modeling in Engineering #Differential Equations and Numerical Methods #Nonlinear Partial Differential Equations #math.PR #msc:60H10

paper · pdf · doi:10.48550/arxiv.1205.3220

arxiv created 2013/02/26 · arxiv updated 2013/02/27

Abstract

We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is multiplicatively perturbed by a small parameter that converges to zero. Furthermore, we establish a Large Deviation Principle for the laws of the corresponding processes.

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