Large Deviations for Backward Stochastic Differential Equations Driven by G-Brownian Motion

Ibrahim Dakaou () and Abdoulaye Soumana Hima ()
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Ibrahim Dakaou: Université Dan Dicko Dankoulodo de Maradi
Abdoulaye Soumana Hima: Université Dan Dicko Dankoulodo de Maradi

Journal of Theoretical Probability, 2021, vol. 34, issue 2, 499-521

Abstract: Abstract In this paper, we consider forward–backward stochastic differential equation driven by G-Brownian motion (G-FBSDEs in short) with small parameter $$\varepsilon > 0$$ ε > 0 . We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.

Keywords: Large deviations; G-stochastic differential equation; Backward SDEs; Contraction principle; 60F10; 60H10; 60H30 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10959-020-01005-0

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