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
