Potential Analysis

, Volume 38, Issue 2, pp 573–587

Density Estimates for Solutions to One Dimensional Backward SDE’s

Article

Abstract

In this paper, we derive sufficient conditions for each component of the solution to a general backward stochastic differential equation to have a density for which upper and lower Gaussian estimates can be obtained.

Keywords

Backward stochastic differential equations Malliavin calculus Density estimates 

Mathematics Subject Classifications (2010)

60H10 60H07 

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Copyright information

© Springer Science+Business Media B.V. 2012

Authors and Affiliations

  1. 1.SAMM, EA 4543Université Paris 1 Panthéon SorbonneParis CedexFrance
  2. 2.Faculté des Sciences, de la Technologie et de la CommunicationUR en MathématiquesLuxembourgLuxembourg

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