Large deviations for backward stochastic differential equations driven by $G$-Brownian motion

Abstract

In this paper, we consider forward-backward stochastic differential equation driven by $G$-Brownian motion ($G$-FBSDEs in short) with small parameter $\epsilon >0$. We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.

21 pages. This is a pre-print of an article published in Journal of Theoretical Probability. The final authenticated version is available online at: https://doi.org/10.1007/s10959-020-01005-0