On the estimation of backward stochastic differential equations

DOI10.1134/S0081543816020024zbMath1343.60070MaRDI QIDQ2631290

B. I. Anan'ev

Publication date: 29 July 2016

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

zbMATH Keywords

estimationBrownian motionbackward stochastic differential equationsrandom information set

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Cites Work

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• Minimax quadratic problem of motion correction
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• An Introductory Approach to Duality in Optimal Stochastic Control
• Comparison principle for equations of the Hamilton-Jacobi type in control theory

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