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

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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 
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     title = {Gaussian density estimates for the solution of singular stochastic {Riccati} equations},
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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. http://geodesic.mathdoc.fr/articles/10.1007/s10492-016-0145-7/

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