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

DOI10.1007/S10492-016-0145-7zbMATH Open1488.60149OpenAlexW2519298499MaRDI QIDQ331328FDOQ331328

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

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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)

Cites Work

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

Cited In (1)

• Density estimates for solutions of stochastic functional differential equations

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