Asymptotic properties of coupled forward–backward stochastic differential equations

In this paper, we consider coupled forward–backward stochastic differential equations (FBSDEs in short) with parameter ε > 0, of the following type [Formula: see text] We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes.

Download Full-text

Diffusion processes on graphs: stochastic differential equations, large deviation principle

Probability Theory and Related Fields ◽

10.1007/pl00008726 ◽

2000 ◽

Vol 116 (2) ◽

pp. 181-220 ◽

Cited By ~ 35

Author(s):

Mark Freidlin ◽

Shuenn-Jyi Sheu

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Diffusion Processes ◽

Large Deviation ◽

Deviation Principle

Download Full-text

Large Deviations for Stochastic Differential Equations on Sd Associated with the Critical Sobolev Brownian Vector Fields

International Journal of Stochastic Analysis ◽

10.1155/2011/840908 ◽

2011 ◽

Vol 2011 ◽

pp. 1-19

Author(s):

Qinghua Wang

Keyword(s):

Differential Equations ◽

Large Deviations ◽

Stochastic Differential Equations ◽

Vector Fields ◽

Large Deviation Principle ◽

Large Deviation ◽

Deviation Principle

We obtain a large deviation principle for the stochastic differential equations on the sphere Sd associated with the critical Sobolev Brownian vector fields.

Download Full-text

Large deviations for stochastic differential equations with general delayed generator

Random Operators and Stochastic Equations ◽

10.1515/rose-2020-2039 ◽

2020 ◽

Vol 28 (3) ◽

pp. 197-207

Author(s):

Clément Manga ◽

Auguste Aman

Keyword(s):

Differential Equations ◽

Large Deviations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Large Deviation ◽

Differential Delay ◽

Deviation Principle ◽

Nonlinear Anal ◽

Differential Delay Equations ◽

Stochastic Differential Delay Equations

AbstractThis paper is devoted to derive a Freidlin–Wentzell type of the large deviation principle for stochastic differential equations with general delayed generator. We improve the result of Chi Mo and Jiaowan Luo [C. Mo and J. Luo, Large deviations for stochastic differential delay equations, Nonlinear Anal. 80 2013, 202–210].

Download Full-text

LARGE DEVIATION PRINCIPLES FOR ISOTROPIC STOCHASTIC FLOW OF HOMEOMORPHISMS ON Sd

Stochastics and Dynamics ◽

10.1142/s0219493710003042 ◽

2010 ◽

Vol 10 (04) ◽

pp. 465-495 ◽

Cited By ~ 1

Author(s):

TIANGE XU ◽

TUSHENG ZHANG

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Vector Fields ◽

Large Deviation Principle ◽

Large Deviation ◽

Stochastic Flow ◽

Deviation Principle ◽

Large Deviation Principles

In this paper, we obtain a large deviation principle for the flow of homeomorphisms of the stochastic differential equations on the sphere Sd associated with the critical Sobolev Brownian vector fields.

Download Full-text

Large deviation principle for reflected Poisson driven stochastic differential equations in epidemic models

Stochastic Analysis and Applications ◽

10.1080/07362994.2019.1616556 ◽

2019 ◽

Vol 37 (5) ◽

pp. 836-864 ◽

Cited By ~ 1

Author(s):

Etienne Pardoux ◽

Brice Samegni-Kepgnou

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Large Deviation ◽

Epidemic Models ◽

Deviation Principle

Download Full-text

Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales

Stochastic Processes and their Applications ◽

10.1016/j.spa.2017.09.011 ◽

2018 ◽

Vol 128 (7) ◽

pp. 2179-2227

Author(s):

Arnab Ganguly

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Large Deviation ◽

Stochastic Integrals ◽

Infinite Dimensional ◽

Deviation Principle

Download Full-text

Small double limit with reflecting Wentzel boundary condition

Random Operators and Stochastic Equations ◽

10.1515/rose-2021-2066 ◽

2021 ◽

Vol 0 (0) ◽

Author(s):

Ibrahima Sane ◽

Alassane Diedhiou

Keyword(s):

Boundary Condition ◽

Differential Equations ◽

Large Deviations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Large Deviation ◽

Rate Function ◽

Deviation Principle ◽

Two Parameters ◽

Double Limit

Abstract We provide a large deviation principle on the stochastic differential equations with reflecting Wentzel boundary condition if δ ε {\frac{\delta}{\varepsilon}} tends to 0 when the two parameters δ (homogenization parameter) and ε (the large deviations parameter) tend to zero. Here, we suppose that the homogenization parameter converges sufficiently quickly more than the large deviations parameter. Furthermore, we will make explicit the associated rate function.

Download Full-text

Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients

Frontiers of Mathematics in China ◽

10.1007/s11464-013-0318-6 ◽

2013 ◽

Vol 8 (6) ◽

pp. 1307-1321 ◽

Cited By ~ 1

Author(s):

Guangqiang Lan

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Large Deviation Principle ◽

Large Deviation ◽

Deviation Principle

Download Full-text

Backward stochastic differential equations with Markov chains and related asymptotic properties

Advances in Difference Equations ◽

10.1186/1687-1847-2013-285 ◽

2013 ◽

Vol 2013 (1) ◽

Author(s):

Huaibin Tang ◽

Zhen Wu

Keyword(s):

Differential Equations ◽

Markov Chains ◽

Stochastic Differential Equations ◽

Asymptotic Properties ◽

Backward Stochastic Differential Equations

Download Full-text

Functional law of the iterated logarithm for backward stochastic differential equations

Random Operators and Stochastic Equations ◽

10.1515/rose-2014-0010 ◽

2014 ◽

Vol 22 (2) ◽

Author(s):

Modeste N'Zi ◽

Ibrahim Dakaou

Keyword(s):

Differential Equation ◽

Differential Equations ◽

Stochastic Differential Equation ◽

Stochastic Differential Equations ◽

Large Deviation ◽

Backward Stochastic Differential Equation ◽

Backward Stochastic Differential Equations ◽

Iterated Logarithm

Abstract.By using large deviation techniques, we prove a Strassen type law of the iterated logarithm for a forward-backward stochastic differential equation.

Download Full-text