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dc.contributor.authorMastrolia, Thibaut
dc.date.accessioned2018-01-15T13:59:16Z
dc.date.available2018-01-15T13:59:16Z
dc.date.issued2018
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17333
dc.language.isoenen
dc.subjectMalliavin calculus
dc.subjectBSDEs
dc.subjectNourdin-Viens' Formula
dc.subjectgene expression
dc.subjectoption pricing
dc.subject.ddc519en
dc.titleDensity analysis of non-Markovian BSDEs and applications to biology and finance
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for the first components of solutions to general path-dependent stochastic Lipschitz BSDEs and obtain results for the second components in particular cases. We apply these results to both the study of a gene expression model in biology and to the classical pricing problems in mathematical finance.
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol128
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages897-938
dc.relation.isversionofdoi10.1016/j.spa.2017.06.009
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01275679
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingouien
dc.relation.forthcomingprintouien
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-03-16T08:38:35Z
hal.person.labIds60


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