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arXiv · 1402.4416

Density analysis of BSDEs

Thibaut Mastrolia·Dylan Possamaï·Anthony Réveillac
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Abstract

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.

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Thibaut Mastrolia, Dylan Possamaï, Anthony Réveillac. 2014-02-18. Density analysis of BSDEs. https://arxiv.org/abs/1402.4416

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