Density analysis of BSDEs

DOI10.1214/15-AOP1035zbMATH Open1462.60079arXiv1402.4416OpenAlexW2138425054MaRDI QIDQ317487FDOQ317487

Dylan Possamaï, Anthony Réveillac, Thibaut Mastrolia

Publication date: 30 September 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: 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.

Full work available at URL: https://arxiv.org/abs/1402.4416

zbMATH Keywords

Malliavin calculusBSDEsdensity analysisNourdin-Viens' formulaPDEs

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (7)

• Differentiability of quadratic forward-backward SDEs with rough drift
• Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
• Gaussian density estimates for the solution of singular stochastic Riccati equations.
• Stability of backward stochastic differential equations: the general Lipschitz case
• Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

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