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arXiv · 1203.0862

Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations

Ana Bela Cruzeiro·André de Oliveira Gomes·Liangquan Zhang
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Abstract

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

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BibTeXRIS

Ana Bela Cruzeiro, André de Oliveira Gomes, Liangquan Zhang. 2012-03-05. Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations. https://arxiv.org/abs/1203.0862

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