Density Estimates for Solutions to One Dimensional Backward SDE’s

BOURGUIN, Solesne; Aboura, O.

doi:10.1007/s11118-012-9287-8

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Article (Scientific journals)

Density Estimates for Solutions to One Dimensional Backward SDE’s

BOURGUIN, Solesne; Aboura, O.

2013 • In Potential Analysis, 38 (2), p. 573-587

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/26274

DOI
10.1007/s11118-012-9287-8

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Keywords :

Backward stochastic differential equations; Malliavin calculus; Density estimates

Abstract :

[en] In this paper, we derive sufficient conditions for each component of the solution to a general backward stochastic differential equation to have a density for which upper and lower Gaussian estimates can be obtained.

Disciplines :

Mathematics

Author, co-author :

BOURGUIN, Solesne ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit

Aboura, O.

External co-authors :

yes

Language :

English

Title :

Density Estimates for Solutions to One Dimensional Backward SDE’s

Publication date :

18 May 2013

Journal title :

Potential Analysis

ISSN :

0926-2601

eISSN :

1572-929X

Publisher :

Springer, Amsterdam, Netherlands

Volume :

Issue :

Pages :

573-587

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBilu :

since 25 March 2016

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