Density analysis of BSDEs

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.

References in corpus (2)

• Numerical simulation of quadratic BSDEs
• A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE

Cited by in corpus (1)

• On the Malliavin differentiability of BSDEs