Large deviations for backward stochastic differential equations driven by $G$-Brownian motion

Ibrahim Dakaou; Abdoulaye Soumana Hima

doi:10.1007/s10959-020-01005-0

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arXiv · 2003.06953

Large deviations for backward stochastic differential equations driven by $G$-Brownian motion

Ibrahim Dakaou·Abdoulaye Soumana Hima

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Abstract

In this paper, we consider forward-backward stochastic differential equation driven by $G$-Brownian motion ($G$-FBSDEs in short) with small parameter $\varepsilon > 0$. We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.

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Ibrahim Dakaou, Abdoulaye Soumana Hima. 2020-03-25. Large deviations for backward stochastic differential equations driven by $G$-Brownian motion. https://doi.org/10.1007/s10959-020-01005-0

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