On approximation of BSDE and multi-step MLE-processes
DOI10.1186/s41546-016-0005-0zbMath1435.62314OpenAlexW2509418670WikidataQ59461354 ScholiaQ59461354MaRDI QIDQ2296084
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-016-0005-0
parameter estimationbackward stochastic differential equationsmall noiseBlack and Scholes modelmulti-step MLE-process
Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
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