Density analysis of BSDEs
Probability
2015-01-27 v2
Abstract
In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution 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.
Cite
@article{arxiv.1402.4416,
title = {Density analysis of BSDEs},
author = {Thibaut Mastrolia and Dylan Possamaï and Anthony Réveillac},
journal= {arXiv preprint arXiv:1402.4416},
year = {2015}
}