Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations

DOI10.1080/03610920802531330zbMath1173.62061OpenAlexW1995401115MaRDI QIDQ3391825

Yuxia Su, Lu Lin

Publication date: 13 August 2009

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

Full work available at URL: https://doi.org/10.1080/03610920802531330

zbMATH Keywords

asymptotic normalityforward-backward stochastic differential equationsemi-parametric estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adapted solution of a backward stochastic differential equation
• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• Generalized likelihood ratio statistics and Wilks phenomenon
• Uniform convergence rate of kernel estimation with mixed categorical and continuous data
• On U-statistics and v. mise? statistics for weakly dependent processes
• Backward Stochastic Differential Equations in Finance
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Nonparametric Pricing of Interest Rate Derivative Securities

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