Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations

Autor:	Cruzeiro, Ana Bela, Gomes, André de Oliveira, Zhang, Liangquan
Rok vydání:	2012
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter $\varepsilon >0$. We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes. Comment: To appear in Stochastics and Dynamics
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1203.0862 Zobrazit plný text záznamu View this record from Arxiv