Gaussian density estimates for the solution of singular stochastic Riccati equations

Tien Dung Nguyen

Applications of Mathematics (2016)

  • Volume: 61, Issue: 5, page 515-526
  • ISSN: 0862-7940

Abstract

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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.

How to cite

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Nguyen, Tien Dung. "Gaussian density estimates for the solution of singular stochastic Riccati equations." Applications of Mathematics 61.5 (2016): 515-526. <http://eudml.org/doc/286819>.

@article{Nguyen2016,
abstract = {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.},
author = {Nguyen, Tien Dung},
journal = {Applications of Mathematics},
keywords = {stochastic Riccati equation; Malliavin calculus; density estimate; stochastic Riccati equation; Malliavin calculus; density estimate},
language = {eng},
number = {5},
pages = {515-526},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Gaussian density estimates for the solution of singular stochastic Riccati equations},
url = {http://eudml.org/doc/286819},
volume = {61},
year = {2016},
}

TY - JOUR
AU - Nguyen, Tien Dung
TI - Gaussian density estimates for the solution of singular stochastic Riccati equations
JO - Applications of Mathematics
PY - 2016
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 61
IS - 5
SP - 515
EP - 526
AB - 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.
LA - eng
KW - stochastic Riccati equation; Malliavin calculus; density estimate; stochastic Riccati equation; Malliavin calculus; density estimate
UR - http://eudml.org/doc/286819
ER -

References

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