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Large deviation for multivalued backward stochastic differential equations

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Published/Copyright: May 16, 2014
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Random Operators and Stochastic Equations
From the journal Random Operators and Stochastic Equations Volume 22 Issue 2

Abstract.

We consider a multivalued forward-backward stochastic differential equation where the diffusion coefficient of the forward equation is perturbed by a small parameter ε>0. We prove that, as ε goes to 0, the solution of the backward equation converges to the solution of a deterministic backward equation and satisfies a Freidlin–Wentzell type large deviation principle.

Keywords: Large deviation; multivalued backward stochastic differential equations; contraction principle
MSC: 60F10

The authors wish to thank the referee for helpful comments.

Received: 2012-4-6
Accepted: 2014-3-28
Published Online: 2014-5-16
Published in Print: 2014-6-1

© 2014 by Walter de Gruyter Berlin/Boston

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  1. Frontmatter
  2. Estimates of distributions for some functionals of stochastic processes from an Orlicz space
  3. Existence and exponential stability for some stochastic neutral partial functional integrodifferential equations
  4. A self-similar Gaussian process
  5. Functional law of the iterated logarithm for backward stochastic differential equations
  6. On fractional derivatives of the local time of a symmetric stable process as a doubly indexed process
  7. Lifshitz tails for a percolation model in the continuum
  8. Large deviation for multivalued backward stochastic differential equations
https://doi.org/10.1515/rose-2014-0013
Keywords for this article
Large deviation; multivalued backward stochastic differential equations; contraction principle

Articles in the same Issue

  1. Frontmatter
  2. Estimates of distributions for some functionals of stochastic processes from an Orlicz space
  3. Existence and exponential stability for some stochastic neutral partial functional integrodifferential equations
  4. A self-similar Gaussian process
  5. Functional law of the iterated logarithm for backward stochastic differential equations
  6. On fractional derivatives of the local time of a symmetric stable process as a doubly indexed process
  7. Lifshitz tails for a percolation model in the continuum
  8. Large deviation for multivalued backward stochastic differential equations
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