Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations

Abstract

In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter $\epsilon >0$. We study the asymptotic behavior of its solutions and establish a large deviation principle for the corresponding processes.

To appear in Stochastics and Dynamics

References in corpus (1)

• On well-posedness of forward-backward SDEs-A unified approach