DENSITY ANALYSIS OF BSDES

• 成果类型: Article
• 署名作者: Mastrolia, Thibaut; Possamai, Dylan; Reveillac, Anthony
• 署名单位: Universite PSL; Universite Paris-Dauphine; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut National des Sciences Appliquees de Toulouse
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/15-AOP1035
• 发表日期: 2016
• 页码: 2817-2857
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS; dimensional backward sdes; quadratic growth; Utility maximization; path regularity; Lower bounds; SPACE

摘要

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.