Density analysis of backward stochastic differential equations

Wednesday, March 18, 2015 - 14:00 to 15:00
703 Thackeray Hall
Speaker Information
Solesne Bourguin
Carnegie Mellon University

Abstract or Additional Information

Abstract: In this talk, we will go over the different results dealing with the existence of a density for the marginal laws of the solution to a backward stochastic differential equation (BSDE). If time permits, we will also review possible techniques in order to obtain Gaussian and non-Gaussian upper and lower estimates of these densities.