QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS
نویسندگان
چکیده
منابع مشابه
Quadratic FBSDE with generalized Burgers' type nonlinearities, perturbations and large deviations∗
We discuss BSDE with drivers containing nonlinearities of the type p(y)|z| and p(y)|z| with p a polynomial of any degree. Su cient conditions are given for existence and uniqueness of solutions as well as comparison results. We then connect the results to the Markovian FBSDE setting, discussing applications in the theory of PDE perturbation and stating a result concerning a large deviations pri...
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ژورنال
عنوان ژورنال: Stochastics and Dynamics
سال: 2013
ISSN: 0219-4937,1793-6799
DOI: 10.1142/s0219493712500153