The existence of densities of BSDEs

17 November 2016
16:00
to
17:30
Daniel Schwarz
Abstract

We introduce sufficient conditions for the solution of a multi-dimensional, Markovian BSDE to have a density. We show that a system of BSDEs possesses a density if its corresponding semilinear PDE exhibits certain regularity properties, which we verify in the case of several examples.

  • Mathematical and Computational Finance Seminar