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

Christian Olivera and Evelina Shamarova

Mathematische Nachrichten, 2020, vol. 293, issue 8, 1554-1564

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.

Date: 2020
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https://doi.org/10.1002/mana.201800381

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