Density estimates for solutions to one dimensional SDE's and Backward SDE's - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

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

Résumé

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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Dates et versions

hal-00626303 , version 1 (25-09-2011)
hal-00626303 , version 2 (17-05-2012)

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Omar Aboura, Solesne Bourguin. Density estimates for solutions to one dimensional SDE's and Backward SDE's. 2011. ⟨hal-00626303v1⟩
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