Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
Ana Bela Cruzeiro, André de Oliveira Gomes · arXiv (Cornell University) · 2012
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.