Density analysis of BSDEs
classification
🧮 math.PR
keywords
densitiesanalysisassociatedbsdebsdesconnectiondensityequations
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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.
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