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Large Deviations for Backward Stochastic Differential Equations Driven by G-Brownian Motion

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  • Ibrahim Dakaou

    (Université Dan Dicko Dankoulodo de Maradi)

  • Abdoulaye Soumana Hima

    (Université Dan Dicko Dankoulodo de Maradi)

Abstract

In this paper, we consider forward–backward stochastic differential equation driven by G-Brownian motion (G-FBSDEs in short) with small parameter $$\varepsilon > 0$$ ε > 0 . We study the asymptotic behavior of the solution of the backward equation and establish a large deviation principle for the corresponding process.

Suggested Citation

  • Ibrahim Dakaou & Abdoulaye Soumana Hima, 2021. "Large Deviations for Backward Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 34(2), pages 499-521, June.
    • Handle: RePEc:spr:jotpro:v:34:y:2021:i:2:d:10.1007_s10959-020-01005-0
    DOI: 10.1007/s10959-020-01005-0
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    References listed on IDEAS

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    1. Gao, Fuqing, 2009. "Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3356-3382, October.
    2. Hu, Mingshang & Ji, Shaolin & Peng, Shige & Song, Yongsheng, 2014. "Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1170-1195.
    3. Hu, Mingshang & Ji, Shaolin & Peng, Shige & Song, Yongsheng, 2014. "Backward stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 759-784.
    4. Gao, Fuqing & Jiang, Hui, 2010. "Large deviations for stochastic differential equations driven by G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2212-2240, November.
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    Cited by:

    1. Soumana Hima, Abdoulaye & Dakaou, Ibrahim, 2023. "Large deviation principle for Reflected Stochastic Differential Equations driven by G-Brownian motion in non-convex domains," Statistics & Probability Letters, Elsevier, vol. 193(C).

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