Densities of one dimensional backward sde’s
نویسندگان
چکیده
This work is devoted to the study of the existence and smoothness of the marginal densities of the solution of one dimensional backward stochastic differential equations. Under monotonicity conditions of a function of the coefficients, we obtain that the smoothness properties of the forward process influencing the backward equation, transfer to the densities of the solution. Once established these conditions, we apply the result to study the tail behavior of the solution process.
منابع مشابه
On the absolute continuity of one-dimensional SDE’s driven by a fractional Brownian motion
The problem of absolute continuity for a class of SDE’s driven by a real fractional Brownian motion of any Hurst index is adressed. First, we give an elementary proof of the fact that the solution to the SDE has a positive density for all t > 0 when the diffusion coefficient does not vanish, echoing in the fractional Brownian framework the main result we had previously obtained for Marcus equat...
متن کاملGiant Goos-Häenchen Shift of a Gaussian Beam Reflected from One-Dimensional Photonic Crystals Containing Left-Handed Lossy Metamaterials
We perform a theoretical investigation on the Goos-Häenchen shift (the lateral shift) in one-dimensional photonic crystals (1DPCs) containing left-handed (LH) metamaterials. The effect was studied by use of a Gaussian beam. We show that the giant lateral displacement is due to the localization of the electromagnetic wave which can be both positive and negative depending on the incidence angle o...
متن کاملBounded Solutions to Backward Sde’s with Jumps for Utility Optimization and Indifference Hedging
We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference va...
متن کاملThree Dimensional Laminar Convection Flow of Radiating Gas over a Backward Facing Step in a Duct
In this study, three-dimensional simulations are presented for laminar forced convection flow of a radiating gas over a backward-facing step in rectangular duct. The fluid is treated as a gray, absorbing, emitting and scattering medium. The three-dimensional Cartesian coordinate system is used to solve the governing equations which are conservations of mass, momentum and energy. These equations...
متن کاملA regularization method for solving a nonlinear backward inverse heat conduction problem using discrete mollification method
The present essay scrutinizes the application of discrete mollification as a filtering procedure to solve a nonlinear backward inverse heat conduction problem in one dimensional space. These problems are seriously ill-posed. So, we combine discrete mollification and space marching method to address the ill-posedness of the proposed problem. Moreover, a proof of stability and<b...
متن کامل