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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire |  |
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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire | |
| HAL: hal-00626303, version 2 |
| arXiv: 1109.5381 |
| Detailed view |  Export this paper |
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| Potential Analysis 38, 2 (2013) 573-587 |
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| Available versions: | v1 (2011-09-25) | v2 (2012-05-18) |
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| Density estimates for solutions to one dimensional Backward SDE's |
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Omar Aboura 1Solesne Bourguin 1 |
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| (2013) |
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| 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. |
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| 1: | Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) (SAMM) |
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Université Paris I - Panthéon-Sorbonne |
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| Subject | : | Mathematics/Probability |
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| Backward stochastic differential equations – Malliavin calculus – density estimates |
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| hal-00626303, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00626303 | |
| oai:hal.archives-ouvertes.fr:hal-00626303 | |
| From: Solesne Bourguin | |
| Submitted on: Thursday, 17 May 2012 10:57:20 | |
| Updated on: Thursday, 28 February 2013 21:13:05 | |
