Densities of one-dimensional backward SDEs
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Publication:1773902
DOI10.1007/s11118-004-1324-9zbMath1082.60047OpenAlexW2082050529MaRDI QIDQ1773902
Arturo Kohatsu-Higa, Fabio Antonelli
Publication date: 28 April 2005
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11118-004-1324-9
Related Items (10)
Density analysis of BSDEs ⋮ Gaussian density estimates for the solution of singular stochastic Riccati equations. ⋮ Analytical Approximations of BSDEs with Nonsmooth Driver ⋮ Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes ⋮ Higher order differentiability of solutions to backward stochastic differential equations ⋮ Density estimates for solutions to one dimensional backward SDE's ⋮ Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance ⋮ The wavelet transform for Wiener functionals and some applications ⋮ A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE
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- Applications of Malliavin calculus to stochastic differential equations with time-dependent coefficients
- Dirichlet forms and analysis on Wiener space
- Hypoelliptic non-homogeneous diffusions
- Representation theorems for backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
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