Applications of Mathematics

, Volume 61, Issue 5, pp 515–526 | Cite as

Gaussian density estimates for the solution of singular stochastic Riccati equations

  • Tien Dung NguyenEmail author


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.


stochastic Riccati equation Malliavin calculus density estimate 

MSC 2010

60H10 60H07 


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Copyright information

© Institute of Mathematics of the Academy of Sciences of the Czech Republic, Praha, Czech Republic 2016

Authors and Affiliations

  1. 1.Department of MathematicsFPT University, Hoa Lac High Tech ParkHanoiVietnam

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