Geodesic
Gaussian density estimates for the solution of singular stochastic Riccati equations
Applications of Mathematics, Tome 61 (2016) no. 5, pp. 515-526

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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.
DOI : 10.1007/s10492-016-0145-7
Classification : 60H07, 60H10
Keywords: stochastic Riccati equation; Malliavin calculus; density estimate 
@article{10_1007_s10492_016_0145_7,
     author = {Nguyen, Tien Dung},
     title = {Gaussian density estimates for the solution of singular stochastic {Riccati} equations},
     journal = {Applications of Mathematics},
     pages = {515--526},
     publisher = {mathdoc},
     volume = {61},
     number = {5},
     year = {2016},
     doi = {10.1007/s10492-016-0145-7},
     mrnumber = {3547760},
     zbl = {06644010},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1007/s10492-016-0145-7/}
}
TY  - JOUR
AU  - Nguyen, Tien Dung
TI  - Gaussian density estimates for the solution of singular stochastic Riccati equations
JO  - Applications of Mathematics
PY  - 2016
SP  - 515
EP  - 526
VL  - 61
IS  - 5
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.1007/s10492-016-0145-7/
DO  - 10.1007/s10492-016-0145-7
LA  - en
ID  - 10_1007_s10492_016_0145_7
ER  - 
%0 Journal Article
%A Nguyen, Tien Dung
%T Gaussian density estimates for the solution of singular stochastic Riccati equations
%J Applications of Mathematics
%D 2016
%P 515-526
%V 61
%N 5
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.1007/s10492-016-0145-7/
%R 10.1007/s10492-016-0145-7
%G en
%F 10_1007_s10492_016_0145_7
Nguyen, Tien Dung. Gaussian density estimates for the solution of singular stochastic Riccati equations. Applications of Mathematics, Tome 61 (2016) no. 5, pp. 515-526. doi: 10.1007/s10492-016-0145-7

Cité par Sources :