Large deviations for backward stochastic differential equations driven by $G$-Brownian motion
Probability
2020-03-27 v2
Abstract
In this paper, we consider forward-backward stochastic differential equation driven by -Brownian motion (-FBSDEs in short) with small parameter . We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.
Keywords
Cite
@article{arxiv.2003.06953,
title = {Large deviations for backward stochastic differential equations driven by $G$-Brownian motion},
author = {Ibrahim Dakaou and Abdoulaye Soumana Hima},
journal= {arXiv preprint arXiv:2003.06953},
year = {2020}
}
Comments
21 pages. This is a pre-print of an article published in Journal of Theoretical Probability. The final authenticated version is available online at: https://doi.org/10.1007/s10959-020-01005-0