On the existence, uniqueness, stability and the properties of large deviations of solutions of backward stochastic differential equations with random terminal time. Application to singular perturbation problems.

DOI10.1016/j.bulsci.2006.05.002zbMath1111.60045OpenAlexW2009382758MaRDI QIDQ871045

Sophie Rainero, Halim Doss

Publication date: 15 March 2007

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2006.05.002

zbMATH Keywords

large deviationsnonlinear partial differential equationforward backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• \(L^p\) solutions of backward stochastic differential equations.
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>
• An introduction to the theory of large deviations

This page was built for publication: On the existence, uniqueness, stability and the properties of large deviations of solutions of backward stochastic differential equations with random terminal time. Application to singular perturbation problems.