Differential equations with fractional derivatives and their applications
Full text  
Author(s): 
Total Authors: 3

Affiliation:  ^{[1]} GFMUL, P1049001 Lisbon  Portugal
^{[2]} Dept Matemat IST TUL, P1049001 Lisbon  Portugal
^{[3]} Univ Lisbon, GFMUL Grp Fis Matemat, P1649003 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, F29285 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 forwardbackward stochastic differential equations (FBSDEs in short) with parameter epsilon > 0, of the following type [Xepsilon,Xt,Xx(s) = x + integral(s)(t) f(r,Xepsilon,Xt,Xx(r),Y epsilon(,t,x)(r))dr +root epsilon integral(s)(t) sigma(r, Xepsilon,Xt,Xx (r), Yepsilon,Yt,Yx(r)) dW(r), Yepsilon,Yt,Yx(s) = h(Xepsilon,Xt,Xx(T)) + integral(T)(s) g(r, Xepsilon,Xt,Xx(r), Yepsilon,Yt,Yx(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:  11/501510  Dynamical phenomena in complex networks: fundamentals and applications 
Grantee:  Elbert Einstein Nehrer Macau 
Support type:  Research Projects  Thematic Grants 