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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Asymptotic properties of coupled forward-backward stochastic differential equations

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Author(s):
Cruzeiro, Ana Bela [1, 2] ; Gomes, Andre de Oliveira [3, 4] ; Zhang, Liangquan [5, 6]
Total Authors: 3
Affiliation:
[1] GFMUL, P-1049001 Lisbon - Portugal
[2] Dept Matemat IST TUL, P-1049001 Lisbon - Portugal
[3] Univ Lisbon, GFMUL Grp Fis Matemat, P-1649003 Lisbon - Portugal
[4] Humboldt Univ, Inst Math, Berlin - Germany
[5] Shandong Univ, Sch Math, Jinan, Shandong - Peoples R China
[6] Univ Bretagne Occidentale, Math Lab, F-29285 Brest - France
Total Affiliations: 6
Document type: Journal article
Source: Stochastics and Dynamics; v. 14, n. 3 SEP 2014.
Web of Science Citations: 1
Abstract

In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter epsilon > 0, of the following type [X-epsilon,X-t,X-x(s) = x + integral(s)(t) f(r,X-epsilon,X-t,X-x(r),Y epsilon(,t,x)(r))dr +root epsilon integral(s)(t) sigma(r, X-epsilon,X-t,X-x (r), Y-epsilon,Y-t,Y-x(r)) dW(r), Y-epsilon,Y-t,Y-x(s) = h(X-epsilon,X-t,X-x(T)) + integral(T)(s) g(r, X-epsilon,X-t,X-x(r), Y-epsilon,Y-t,Y-x(r), Z(epsilon,t,x)(r)) dr -integral(T)(s) Z(epsilon,t,x)(r) dW(r), 0 <= t <= s <= T. We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes. (AU)

FAPESP's process: 11/50151-0 - Dynamical phenomena in complex networks: fundamentals and applications
Grantee:Elbert Einstein Nehrer Macau
Support type: Research Projects - Thematic Grants