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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Gaussian density estimates for solutions of fully coupled forward-backward SDEs

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Author(s):
Olivera, Christian [1] ; Shamarova, Evelina [2]
Total Authors: 2
Affiliation:
[1] Univ Estadual Campinas, Dept Matemat, Campinas - Brazil
[2] Univ Fed Paraiba, Dept Matemat, Joao Pessoa, Paraiba - Brazil
Total Affiliations: 2
Document type: Journal article
Source: Mathematische Nachrichten; v. 293, n. 8 MAY 2020.
Web of Science Citations: 0
Abstract

We obtain upper and lower Gaussian density estimates for the laws of each component of the solution to a one-dimensional fully coupled forward-backward SDE. Our approach relies on the link between FBSDEs and quasilinear parabolic PDEs, and is fully based on the use of classical results on PDEs rather than on manipulation of FBSDEs, compared to other papers on this topic. This essentially simplifies the analysis. (AU)

FAPESP's process: 15/07278-0 - Stochastic dynamics: analytical and geometrical aspects with applications
Grantee:Paulo Regis Caron Ruffino
Support type: Research Projects - Thematic Grants