Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviationsReport as inadecuate



 Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations


Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations - Download this document for free, or read online. Document in PDF available to download.

Download or read this book online for free in PDF: Quadratic FBSDE with generalized Burgers type nonlinearities, perturbations and large deviations
We discuss BSDE with drivers containing nonlinearities of the type $py|z|$ and $py|z|^2$ with $p$ a polynomial of any degree. Sufficient 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 principle for the first component of the solution to the BSDE.



Author: Christoph Frei; Gonçalo Dos Reis

Source: https://archive.org/



DOWNLOAD PDF




Related documents