Large deviation for BSDE with subdifferential operator

In this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle.

Detalhes bibliográficos
Autor: Essaky, E. H.
Formato: artículo
Fecha de publicación:2006
País:España
Recursos:Universitat Autònoma de Barcelona
Repositorio:Dipòsit Digital de Documents de la UAB
Idioma:inglés
OAI Identifier:oai:ddd.uab.cat:44223
Acesso em linha:https://ddd.uab.cat/record/44223
Access Level:acceso abierto
Palavra-chave:Equacions estocàstiques diferencials
Equacions integrals estocàstiques
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spelling Large deviation for BSDE with subdifferential operatorEssaky, E. H.Equacions estocàstiques diferencialsEquacions integrals estocàstiquesIn this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle.Centre de Recerca MatemàticaCentre de Recerca Matemàtica 22006-01-0120062006-01-01Articlehttp://purl.org/coar/resource_type/c_6501AOhttp://purl.org/coar/version/c_b1a7d7d4d402bcceinfo:eu-repo/semantics/articleapplication/pdfhttps://ddd.uab.cat/record/44223reponame:Dipòsit Digital de Documents de la UABinstname:Universitat Autònoma de BarcelonaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.https://creativecommons.org/licenses/by-nc-nd/2.5/info:eu-repo/semantics/openAccessoai:ddd.uab.cat:442232026-06-06T12:50:31Z
dc.title.none.fl_str_mv Large deviation for BSDE with subdifferential operator
title Large deviation for BSDE with subdifferential operator
spellingShingle Large deviation for BSDE with subdifferential operator
Essaky, E. H.
Equacions estocàstiques diferencials
Equacions integrals estocàstiques
title_short Large deviation for BSDE with subdifferential operator
title_full Large deviation for BSDE with subdifferential operator
title_fullStr Large deviation for BSDE with subdifferential operator
title_full_unstemmed Large deviation for BSDE with subdifferential operator
title_sort Large deviation for BSDE with subdifferential operator
dc.creator.none.fl_str_mv Essaky, E. H.
author Essaky, E. H.
author_facet Essaky, E. H.
author_role author
dc.contributor.none.fl_str_mv Centre de Recerca Matemàtica
dc.subject.none.fl_str_mv Equacions estocàstiques diferencials
Equacions integrals estocàstiques
topic Equacions estocàstiques diferencials
Equacions integrals estocàstiques
description In this paper we prove that the solution of a backward stochastic differential equation, which involves a subdifferential operator and associated to a family of reflecting diffusion processes, converges to the solution of a deterministic backward equation and satisfes a large deviation principle.
publishDate 2006
dc.date.none.fl_str_mv 2
2006-01-01
2006
2006-01-01
dc.type.none.fl_str_mv Article
http://purl.org/coar/resource_type/c_6501
AO
http://purl.org/coar/version/c_b1a7d7d4d402bcce
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://ddd.uab.cat/record/44223
url https://ddd.uab.cat/record/44223
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/2.5/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/2.5/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Centre de Recerca Matemàtica
publisher.none.fl_str_mv Centre de Recerca Matemàtica
dc.source.none.fl_str_mv reponame:Dipòsit Digital de Documents de la UAB
instname:Universitat Autònoma de Barcelona
instname_str Universitat Autònoma de Barcelona
reponame_str Dipòsit Digital de Documents de la UAB
collection Dipòsit Digital de Documents de la UAB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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