Gaussian density estimates for the solution of singular stochastic Riccati equations
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Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation.
Keywordsstochastic Riccati equation Malliavin calculus density estimate
MSC 201060H10 60H07
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