Density analysis of BSDEs

Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony

Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony (2016), Density analysis of BSDEs, Annals of Probability, 44, 4, p. 2817-2857. 10.1214/15-AOP1035

Type

Article accepté pour publication ou publié

External document link

https://arxiv.org/abs/1402.4416v2

Date

2016

Journal name

Annals of Probability

Volume

Number

Publisher

Institute of Mathematical Statistics

Published in

Paris

Pages

2817-2857

Abstract (EN)

In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution $(Y,Z)$ to a quadratic growth BSDE. Using the (by now) well-established connection between these equations and their associated semi-linear PDEs, together with the Nourdin-Viens formula, we provide estimates on these densities.

Subjects / Keywords

PDEs