Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle (1205.3220v5)

Published 14 May 2012 in math.PR

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.

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