Density estimates for solutions to one dimensional SDE's and Backward SDE's

Omar Aboura (1) , Solesne Bourguin (1)

1 SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne)

In this paper, we give sufficient conditions for the solutions of stochastic differential equations and backward stochastic differential equations to have a density for which we give upper and lower estimates. In the case of backward SDEs, the density estimates we derive are Gaussian.

Mots clés: Backward stochastic differential equations; Malliavin calculus; density estimates

Domaines: Probabilités [math.PR]

Omar Aboura, Solesne Bourguin. Density estimates for solutions to one dimensional SDE's and Backward SDE's. 2011. ⟨hal-00626303v1⟩