Density analysis of BSDEs
Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony (2016), Density analysis of BSDEs, Annals of Probability, 44, 4, p. 2817-2857. 10.1214/15-AOP1035
TypeArticle accepté pour publication ou publié
External document linkhttps://arxiv.org/abs/1402.4416v2
Journal nameAnnals of Probability
Institute of Mathematical Statistics
MetadataShow full item record
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 / KeywordsPDEs
Showing items related by title and author.