Gaussian density estimates for solutions of fully coupled forward‐backward SDEs

DOI10.1002/mana.201800381OpenAlexW3030116735MaRDI QIDQ5126251

Christian Olivera, Evelina Shamarova

Publication date: 16 October 2020

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.11448

zbMATH Keywords

Malliavin calculusdensity estimatesNourdin-Viens' formulaforward-backward SDEs

Mathematics Subject Classification ID

Partial differential equations (35-XX) Probability theory and stochastic processes (60-XX)

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