| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7550398 | Stochastic Processes and their Applications | 2018 | 41 Pages |
Abstract
In 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Thibaut Mastrolia,