Density analysis of BSDEs

• Thibaut Mastrolia ^[1] ; Dylan Possamaï ^[1] ; Anthony Réveillac ^[2]
  1. [1] Paris Dauphine University

     Paris Dauphine University

     París, Francia

     
  2. [2] Université de Toulouse

     Université de Toulouse

     Arrondissement de Toulouse, Francia

     
• Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 44, Nº. 4, 2016, págs. 2817-2857
• Idioma: inglés
• DOI: 10.1214/15-AOP1035
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• Resumen

  • In this paper, we study the existence of densities (with respect to the Lebesgue measure) for marginal laws of the solution (Y,Z)(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.