On approximation of the backward stochastic differential equation

DOI10.1016/j.jspi.2014.03.002zbMath1287.62017arXiv1305.3728OpenAlexW2964103088WikidataQ115345202 ScholiaQ115345202MaRDI QIDQ2453615

Li Zhou, Yury A. Kutoyants

Publication date: 10 June 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.3728

zbMATH Keywords

backward SDEsmall noise asymptoticsapproximation of solutions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• Adapted solution of a backward stochastic differential equation
• Forward-backward stochastic differential equations and their applications
• Statistical inference for ergodic diffusion processes.
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
• Backward Stochastic Differential Equations in Finance
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