Asymptotic properties of coupled forward–backward stochastic differential equations-Reference-Cited by-同舟云学术

Asymptotic properties of coupled forward–backward stochastic differential equations

Published:2014-05-29 Issue:03 Volume:14 Page:1450004
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

Cruzeiro Ana Bela¹,Gomes André de Oliveira²³,Zhang Liangquan⁴⁵

Affiliation:

1. GFMUL and Dep. de Matemática IST(TUL), Av. Rovisco Pais, 1049-001 Lisboa, Portugal

2. GFMUL – Grupo de Física Matemática, Universidade de Lisboa, Av. Prof. Gama Pinto 2, 1649-003 Lisboa, Portugal

3. Institut für Mathematik Humboldt-Universität zu Berlin, Germany

4. School of Mathematics, Shandong University, P. R. China

5. Laboratoire de Mathématiques, Université de Bretagne Occidentale, 29285 Brest Cédex, France

Abstract

In this paper, we consider coupled forward–backward stochastic differential equations (FBSDEs in short) with parameter ε > 0, of the following type [Formula: see text] We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes.

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S021949371450004X

Reference30 articles.

1. Grandes deviations et applications

2. Backward-Forward Stochastic Differential Equations

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4. Large deviations and functional iterated logarithm law for diffusion processes

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