Large Deviation for Reflected Backward Stochastic Differential Equations
Probability
2011-12-01 v1
Abstract
In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.
Cite
@article{arxiv.1111.7189,
title = {Large Deviation for Reflected Backward Stochastic Differential Equations},
author = {Liangquan Zhang},
journal= {arXiv preprint arXiv:1111.7189},
year = {2011}
}