| Full text | |
| Author(s): |
Olivera, Christian
;
Shamarova, Evelina
Total Authors: 2
|
| Document type: | Journal article |
| Source: | Mathematische Nachrichten; v. 293, n. 8, p. 11-pg., 2020-05-25. |
| 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: | 17/17670-0 - Stochastic Partial Differential Equations and Particle Systems |
| Grantee: | Christian Horacio Olivera |
| Support Opportunities: | Regular Research Grants |
| FAPESP's process: | 15/07278-0 - Stochastic dynamics: analytical and geometrical aspects with applications |
| Grantee: | Paulo Regis Caron Ruffino |
| Support Opportunities: | Research Projects - Thematic Grants |