Gaussian density estimates for the solution of singular stochastic Riccati equations.

DOI10.1007/S10492-016-0145-7MaRDI QIDQ331328zbMATH OpenOpenAlexFDO

Authors Tien Dung Nguyen

Publication date 26 October 2016

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/145888

zbMATH Keywords

Malliavin calculusdensity estimatestochastic Riccati equation

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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Cites work

• Continuous exponential martingales and BMO
• Continuous-time mean-variance portfolio selection with random horizon
• Contract theory in continuous-time models
• Densities of one-dimensional backward SDEs
• Density analysis of BSDEs
• Density estimates for solutions to one dimensional backward SDE's
• Density formula and concentration inequalities with Malliavin calculus
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Mean-variance portfolio selection in a complete market with unbounded random coefficients
• Stochastic analysis in discrete and continuous settings. With normal martingales.
• The Malliavin Calculus and Related Topics

Cited in

(1)

• Density estimates for solutions of stochastic functional differential equations

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