Nonparametric Estimation for FBSDEs Models with Applications in Finance

DOI10.1080/03610920903046816zbMath1201.62041OpenAlexW1973933409MaRDI QIDQ2786238

Xi Chen, Lu Lin

Publication date: 21 September 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920903046816

zbMATH Keywords

local linear estimatorsasymptotic propertiesbackward stochastic differential equationsforward-backward stochastic differential equationsMarkov

Mathematics Subject Classification ID

Related Items (3)

Terminal-dependent statistical inference for the FBSDEs models ⋮ Terminal-Dependent Statistical Inferences for FBSDE ⋮ Terminal-dependent statistical inference for the integral form of FBSDE

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