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Probability and Computational Finance Seminar
Solesne Bourguin
Carnegie Mellon University
Title: Density analysis of BSDEs

Abstract: In this talk, we will go over the different results dealing with the existence of a density for the marginal laws of the solution to a BSDE. We will present the Lipschitz case as well as the quadratic case. If time permits, we will also review possible techniques in order to obtain Gaussian and non-Gaussian upper and lower estimates of these densities.

Date: Monday, September 29, 2014
Time: 5:00 pm
Location: Porter Hall 226C
Submitted by:  Dmitry Kramkov