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Densities for scalar-valued BSDEs via unique continuation and backward uniqueness

Bourguin, Solesne et al.
arXiv (All) · Papers
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60h10analysis-of-pdesmathematical-financeprobability
We give sufficient conditions ensuring that, at every fixed positive time, the scalar backward component of a Markovian forward-backward stochastic differential equation with multidimensional forward process admits a density with respect to Lebesgue measure. Existing density criteria for BSDEs often
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