Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation

DOI10.1214/15-AIHP678zbMath1351.35276arXiv1407.5314OpenAlexW2104152840MaRDI QIDQ330697

Zhenjie Ren, Jin Ma, Jianfeng Zhang, Nizar Touzi

Publication date: 26 October 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.5314

zbMATH Keywords

backward stochastic differential equationslarge deviationsviscosity solutions of path-dependent PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)

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Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control, Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method, Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs

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