Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene...
Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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Contents
We obtain upper and lower Gaussian-type bounds on the density of each component \(Y^i_t\) of the solution \(Y_t\) to a multidimensional non-Markovian backward SDE. Our approach is based on the Nourdin-Viens formula and a stochastic version of Wazewski's theorem on the positivity of the components of a solution to an ODE. Furthermore, we apply our r...
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Full title
Gaussian-type density bounds for solutions to multidimensional backward SDEs and application to gene expression
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TN_cdi_proquest_journals_2365922608
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2365922608
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E-ISSN
2331-8422
DOI
10.48550/arxiv.2002.11706
