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Density analysis of BSDEs. (English) Zbl 1462.60079

Summary: In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution \((Y,Z)\) to a quadratic growth BSDE. Using the (by now) well-established connection between these equations and their associated semi-linear PDEs, together with the Nourdin-Viens formula, we provide estimates on these densities.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07 Stochastic calculus of variations and the Malliavin calculus
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