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

Ana Bela Cruzeiro; André de Oliveira Gomes

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arXiv · 1205.3220

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

Ana Bela Cruzeiro·André de Oliveira Gomes

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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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Ana Bela Cruzeiro, André de Oliveira Gomes. 2013-02-26. Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle. https://arxiv.org/abs/1205.3220

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