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.

引用

页码：573 / 587

页数：15

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