| Title:
|
Gaussian density estimates for the solution of singular stochastic Riccati equations (English) |
| Author:
|
Nguyen, Tien Dung |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
61 |
| Issue:
|
5 |
| Year:
|
2016 |
| Pages:
|
515-526 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Stochastic Riccati equation is a backward stochastic differential equation with singular generator which arises naturally in the study of stochastic linear-quadratic optimal control problems. In this paper, we obtain Gaussian density estimates for the solutions to this equation. (English) |
| Keyword:
|
stochastic Riccati equation |
| Keyword:
|
Malliavin calculus |
| Keyword:
|
density estimate |
| MSC:
|
60H07 |
| MSC:
|
60H10 |
| idZBL:
|
Zbl 06644010 |
| idMR:
|
MR3547760 |
| DOI:
|
10.1007/s10492-016-0145-7 |
| . |
| Date available:
|
2016-10-01T15:49:15Z |
| Last updated:
|
2020-07-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/145888 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| . |
