Large deviation principle for a backward stochastic differential equation with subdifferential operator

El Hassan Essaky

doi:10.1016/j.crma.2007.10.044

Probability Theory

Large deviation principle for a backward stochastic differential equation with subdifferential operator

Presented by: Marc Yor

El Hassan Essaky ¹

¹ Université Cadi Ayyad, faculté poly-disciplinaire, département de mathématiques et d'informatique, B.P. 4162, 46000 Safi, Morocco

Comptes Rendus. Mathématique, Volume 346 (2008) no. 1-2, pp. 75-78.

Abstract
Résumé

In this note, 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 satisfies a large deviation principle.

Dans cette Note, nous montrons que la solution d'une équation différentielle stochastique rétrograde progressive associée à un opérateur sous-différentiel converge vers la solution d'une équation différentielle rétrograde progressive déterministe et satisfait un principe de grandes déviations.

Received: 2006-08-22
Accepted: 2007-10-26
Published online: 2007-12-03

DOI: 10.1016/j.crma.2007.10.044

Author's affiliations:

El Hassan Essaky ¹

¹ Université Cadi Ayyad, faculté poly-disciplinaire, département de mathématiques et d'informatique, B.P. 4162, 46000 Safi, Morocco

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     title = {Large deviation principle for a backward stochastic differential equation with subdifferential operator},
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El Hassan Essaky. Large deviation principle for a backward stochastic differential equation with subdifferential operator. Comptes Rendus. Mathématique, Volume 346 (2008) no. 1-2, pp. 75-78. doi : 10.1016/j.crma.2007.10.044. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2007.10.044/

References
Cited by

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