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

Autor:	Christian Olivera, Evelina Shamarova
Rok vydání:	2020
Předmět:	General Mathematics 010102 general mathematics Mathematics::Optimization and Control Forward backward Gaussian density Malliavin calculus 01 natural sciences 010101 applied mathematics Fully coupled Component (UML) Applied mathematics 0101 mathematics Link (knot theory) Mathematics
Zdroj:	Mathematische Nachrichten. 293:1554-1564
ISSN:	1522-2616 0025-584X
DOI:	10.1002/mana.201800381
Popis:	We obtain upper and lower Gaussian density estimates for the laws of each component of the solution to a one‐dimensional fully coupled forward‐backward SDE. Our approach relies on the link between FBSDEs and quasilinear parabolic PDEs, and is fully based on the use of classical results on PDEs rather than on manipulation of FBSDEs, compared to other papers on this topic. This essentially simplifies the analysis.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::dff7c6d9d3733af6b837a095f3d92cd7 https://doi.org/10.1002/mana.201800381 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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