2 papers
math.PR2022
Large Deviations for Lévy Diffusions in small regime
Pedro Catuogno, André de Oliveira Gomes
This article concerns the large deviations regime and the consequent solution of the Kramers problem for a two-time scale stochastic system driven by a common jump noise signal per…
math.PR2012
Forward Backward Stochastic Differential Equations - Asymptotics and a Large Deviations Principle
Ana Bela Cruzeiro, André de Oliveira Gomes
We study the asymptotic behaviour of solutions of Forward Backward Stochastic Differential Equations in the coupled case, when the diffusion coefficient of the forward equation is…