Add to ORKGIn 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
We study a large-deviation problem arising in mathematical finance. It concerns diffusion processes...
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), prov...
equations (BSDEs) with bounded and continuous coefficient have the properties of exis-tence and uniq...
In this paper we prove that the solution of a backward stochastic differential equation, which invol...
On montre la convergence et un principe de grandes déviations pour une équation différentielle stoch...
In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial diff...
[[abstract]]In this paper, we will prove that the solution of stochastic differential equation with ...
In this paper, we present a sufficient condition for the large deviation criteria of Budhiraja, Dupu...
Abstract In this paper, we establish a large deviation principle for a mean reflected stochastic dif...
AbstractA large deviation principle is established for stochastic differential equation systems with...
Tese de mestrado em Matemática, apresentada à Universidade de Lisboa, através da Faculdade de Ciênci...
AbstractWe study the existence, uniqueness and stability of solutions of backward stochastic differe...
AbstractThe existence and uniqueness of the solution of a backward SDE, on a random (possibly infini...
A large deviation principle is established for stochastic differential equation systems with slow an...
The purpose of this paper is to present a general result on the composition of large deviation princ...
We study a large-deviation problem arising in mathematical finance. It concerns diffusion processes...
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), prov...
equations (BSDEs) with bounded and continuous coefficient have the properties of exis-tence and uniq...
In this paper we prove that the solution of a backward stochastic differential equation, which invol...
On montre la convergence et un principe de grandes déviations pour une équation différentielle stoch...
In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial diff...
[[abstract]]In this paper, we will prove that the solution of stochastic differential equation with ...
In this paper, we present a sufficient condition for the large deviation criteria of Budhiraja, Dupu...
Abstract In this paper, we establish a large deviation principle for a mean reflected stochastic dif...
AbstractA large deviation principle is established for stochastic differential equation systems with...
Tese de mestrado em Matemática, apresentada à Universidade de Lisboa, através da Faculdade de Ciênci...
AbstractWe study the existence, uniqueness and stability of solutions of backward stochastic differe...
AbstractThe existence and uniqueness of the solution of a backward SDE, on a random (possibly infini...
A large deviation principle is established for stochastic differential equation systems with slow an...
The purpose of this paper is to present a general result on the composition of large deviation princ...
We study a large-deviation problem arising in mathematical finance. It concerns diffusion processes...
In this article, we introduce the concept of Backward Stochastic Differential Equations (BSDE), prov...
equations (BSDEs) with bounded and continuous coefficient have the properties of exis-tence and uniq...