Resumen de Density analysis of BSDEs

Thibaut Mastrolia, Dylan Possamai, Anthony Réveillac

• 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.