[Un principe de grandes déviations pour une équation différentielle stochastique rétrograde associée à un opérateur sous-différentiel]
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.
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.
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@article{CRMATH_2008__346_1-2_75_0,
author = {Essaky, El Hassan},
title = {Large deviation principle for a backward stochastic differential equation with subdifferential operator},
journal = {Comptes Rendus. Math\'ematique},
pages = {75--78},
publisher = {Elsevier},
volume = {346},
number = {1-2},
year = {2008},
doi = {10.1016/j.crma.2007.10.044},
language = {en},
url = {http://www.numdam.org/articles/10.1016/j.crma.2007.10.044/}
}
TY - JOUR AU - Essaky, El Hassan TI - Large deviation principle for a backward stochastic differential equation with subdifferential operator JO - Comptes Rendus. Mathématique PY - 2008 SP - 75 EP - 78 VL - 346 IS - 1-2 PB - Elsevier UR - http://www.numdam.org/articles/10.1016/j.crma.2007.10.044/ DO - 10.1016/j.crma.2007.10.044 LA - en ID - CRMATH_2008__346_1-2_75_0 ER -
%0 Journal Article %A Essaky, El Hassan %T Large deviation principle for a backward stochastic differential equation with subdifferential operator %J Comptes Rendus. Mathématique %D 2008 %P 75-78 %V 346 %N 1-2 %I Elsevier %U http://www.numdam.org/articles/10.1016/j.crma.2007.10.044/ %R 10.1016/j.crma.2007.10.044 %G en %F CRMATH_2008__346_1-2_75_0
Essaky, El Hassan. Large deviation principle for a backward stochastic differential equation with subdifferential operator. Comptes Rendus. Mathématique, Tome 346 (2008) no. 1-2, pp. 75-78. doi : 10.1016/j.crma.2007.10.044. http://www.numdam.org/articles/10.1016/j.crma.2007.10.044/
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