Density estimates for solutions to one dimensional SDE's and Backward SDE's

Details Density estimates for solutions to one dimensional SDE's and Backward SDE's Density estimates for solutions to one dimensional SDE's and Backward SDE's

2011-09-25

arxiv.org/abs/1109.5381v1

Mathematics

Probability

Scientific paper

In this paper, we give sufficient conditions for the solutions of stochastic
differential equations and backward stochastic differential equations to have a
density for which we give upper and lower estimates. In the case of backward
SDEs, the density estimates we derive are Gaussian.

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