4 papers
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…
Moderate averaged deviations for a multi-scale system with jumps and memory
André de Oliveira Gomes, Pedro Catuogno
This work studies a two-time-scale functional system given by two jump-diffusions under the scale separation by a small parameter . The coefficients of t…
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…
Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations
Ana Bela Cruzeiro, André de Oliveira Gomes, Liangquan Zhang
In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter . We study the asymptotic behavior of its sol…