Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
Probability
2013-02-27 v5
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.
Cite
@article{arxiv.1205.3220,
title = {Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle},
author = {Ana Bela Cruzeiro and André de Oliveira Gomes},
journal= {arXiv preprint arXiv:1205.3220},
year = {2013}
}