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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References:

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