Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control

DOI10.1214/19-AAP1531zbMath1472.60091arXiv1810.01980OpenAlexW3045884582MaRDI QIDQ2657911

Daniel Lacker, Julio Backhoff-Veraguas, Ludovic Tangpi

Publication date: 18 March 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.01980

zbMATH Keywords

stochastic controllarge deviationsWiener spaceSanov theoremBSDESchrödinger problemSchilder theoremnonexponential

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10)

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Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Representation of weakly maxitive monetary risk measures and their rate functions ⋮ Large deviations built on max-stability ⋮ Applications of weak transport theory

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