QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS

Christoph Frei, Goncalo Dos Reis*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

We discuss BSDE with drivers containing nonlinearities of the type p(y)vertical bar z vertical bar and p(y)vertical bar z vertical bar(2) with p a polynomial of any degree. Sufficient conditions are given for the 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.

Original languageEnglish
Article number1250015
Number of pages37
JournalStochastics and dynamics
Volume13
Issue number2
DOIs
Publication statusPublished - Jun 2013

Keywords / Materials (for Non-textual outputs)

  • FBSDE
  • quadratic growth BSDE
  • generalized Burgers' PDE
  • PDE perturbation
  • large deviations principle
  • Navier-Stokes
  • STOCHASTIC DIFFERENTIAL-EQUATIONS
  • HARMONIC MAPS
  • HEAT-FLOW
  • GROWTH
  • BSDES
  • CONVERGENCE
  • PDES
  • TIME

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