Asymptotic behavior for delayed backward stochastic differential equations

This paper is devoted to study the asymptotic properties for the solution of decoupled forward backward stochastic differential equations with delayed generators. As an application, we establish a large deviation principe for solution of the backward equations.

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Bibliographic Details
Published inCommunications in statistics. Simulation and computation Vol. 54; no. 7; pp. 2491 - 2506
Main Authors Manga, Clément, Aman, Auguste, Tuo, Navègué
Format Journal Article
LanguageEnglish
Published Taylor & Francis 03.07.2025
Subjects
Backward stochastic differential equations
Delayed generators
Forward stochastic differential equations
Large deviation principe
Meyer-Zheng topologie
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Summary:This paper is devoted to study the asymptotic properties for the solution of decoupled forward backward stochastic differential equations with delayed generators. As an application, we establish a large deviation principe for solution of the backward equations.
ISSN:0361-0918
1532-4141
DOI:10.1080/03610918.2023.2242011