Asymptotic behavior for delayed backward stochastic differential equations

被引：0

作者：

Manga, Clement ^{[1
]}

Aman, Auguste ^{[2
]}

Tuo, Navegue ^{[3
]}

机构：

[1] Univ Assane Seck, UFR Sci & Technol, Ziguinchor, Senegal

[2] Univ Felix H Boigny, UFR Math & Informat, Abidjan, Cote Ivoire

[3] Univ Alassane Ouattara, UFR Sci Econ & Gest, Bouake, Cote Ivoire

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2023年

关键词：

Backward stochastic differential equations; Delayed generators; Forward stochastic differential equations; Large deviation principe; Meyer-Zheng topologie; MARKOV PROCESS EXPECTATIONS; LARGE DEVIATIONS; TIME;

D O I：

10.1080/03610918.2023.2242011

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is devoted to study the asymptotic properties for the solution of decoupled forward backward stochastic differential equations with delayed generators. As an application, we establish a large deviation principe for solution of the backward equations.

引用

页数：16

共 50 条

[31] Backward stochastic differential equations with double mean reflections [J].

Li, Hanwu .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2024, 173

[32] SINC-? SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS [J].

Wang, Xu ;

Zhao, Weidong ;

Zhou, Tao .

SIAM JOURNAL ON NUMERICAL ANALYSIS, 2022, 60 (04) :1799-1823

[33] Mean-field backward stochastic differential equations and related partial differential equations [J].

Buckdahn, Rainer ;

Li, Juan ;

Peng, Shige .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2009, 119 (10) :3133-3154

[34] Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem [J].

Zhang Detao School of MathematicsShandong UniversityJinan .

CommunicationsinMathematicalResearch, 2009, 25 (05) :402-410

[35] Generalized mean-field backward stochastic differential equations and related partial differential equations [J].

Feng, Xinwei .

APPLICABLE ANALYSIS, 2021, 100 (16) :3299-3321

[36] Backward stochastic differential equations with rank-based data [J].

Zhen-qing Chen ;

Xinwei Feng .

Science China Mathematics, 2018, 61 :27-56

[37] Backward Stochastic Differential Equations Associated to a Symmetric Markov Process [J].

V. Bally ;

E. Pardoux ;

L. Stoica .

Potential Analysis, 2005, 22 (1) :17-60

[38] A Sort of Discrete Backward Stochastic Differential Equations and Its Convergence [J].

Lin, Xiangyun ;

Zhang, Rui ;

Wang, Xiangrong .

2009 ISECS INTERNATIONAL COLLOQUIUM ON COMPUTING, COMMUNICATION, CONTROL, AND MANAGEMENT, VOL II, 2009, :431-+

[39] Forward-backward stochastic differential equations with delay generators [J].

Aman, Auguste ;

Coulibaly, Harouna ;

Dordevic, Jasmina .

STOCHASTICS AND DYNAMICS, 2023, 23 (02)

[40] Lp solutions to backward stochastic differential equations with discontinuous generators [J].

Tian, Dejian ;

Jiang, Long ;

Shi, Xuejun .

STATISTICS & PROBABILITY LETTERS, 2013, 83 (02) :503-510

← 1 2 3 4 5 →