Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases

DOI10.1134/S0081543814080094zbMath1327.60014WikidataQ115247998 ScholiaQ115247998MaRDI QIDQ492172

Yury A. Kutoyants

Publication date: 20 August 2015

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

zbMATH Keywords

estimationapproximationbackward stochastic differential equationMarkovian processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (7)

On the multi-step MLE-process for ergodic diffusion ⋮ Method of moments estimators and multi-step MLE for Poisson processes ⋮ Quasi-likelihood analysis and its applications ⋮ On multi-step MLE-process for Markov sequences ⋮ Hybrid estimators for stochastic differential equations from reduced data ⋮ On multi-step estimation of delay for SDE ⋮ On approximation of BSDE and multi-step MLE-processes

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• On approximation of the backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• On estimating the diffusion coefficient

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