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Keywords:
stochastic Riccati equation; Malliavin calculus; density estimate
stochastic Riccati equation; Malliavin calculus; density estimate
Summary:
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.
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