Density Estimates for Solutions to One Dimensional Backward SDE's

被引：17
|
作者：
Aboura, Omar [1 ]
Bourguin, Solesne [1 ,2 ]
机构：
[1] Univ Paris 01, SAMM, EA 4543, F-75634 Paris, France
[2] UR Math, Fac Sci Technol & Commun, L-1359 Luxembourg, Luxembourg
来源：
POTENTIAL ANALYSIS | 2013年 / 38卷 / 02期
关键词：
Backward stochastic differential equations; Malliavin calculus; Density estimates;
D O I：
10.1007/s11118-012-9287-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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.
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页码：573 / 587
页数：15
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