Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle

Autor:	Cruzeiro, Ana Bela, Gomes, André de Oliveira
Rok vydání:	2012
Předmět:	Mathematics - Probability 60H10
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1205.3220 Zobrazit plný text záznamu View this record from Arxiv