Title : Density Estimates for Solutions to One Dimensional Backward SDE’s
Language : English
Author, co-author : Bourguin, Solesne [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
Aboura, O. []
Publication date : 18-May-2013
Journal title : Potential Analysis
Publisher : Springer
Volume : 38
Issue/season : 2
Pages : 573-587
Peer reviewed : Yes (verified by ORBilu )
ISSN : 0926-2601
e-ISSN : 1572-929X
City : Amsterdam
Country : The Netherlands
Keywords : [en] 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.
Permalink : http://hdl.handle.net/10993/26274
DOI : 10.1007/s11118-012-9287-8