Gaussian density estimates for the solution of singular stochastic Riccati equations.

DOI10.1007/s10492-016-0145-7zbMath1488.60149OpenAlexW2519298499MaRDI QIDQ331328

Tien Dung Nguyen

Publication date: 26 October 2016

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/145888

zbMATH Keywords

Malliavin calculusdensity estimatestochastic Riccati equation

Mathematics Subject Classification ID

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

Related Items

Density estimates for solutions of stochastic functional differential equations

Cites Work

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