Efficient drift parameter estimation for ergodic solutions of backward SDEs
From MaRDI portal
Publication:6608189
DOI10.1111/sjos.12709MaRDI QIDQ6608189
Publication date: 19 September 2024
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
consistencyasymptotic normalitybackward SDEsergodic diffusion processesmaximum-likelihood-type estimationunobserved volatility processes
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
- Adaptive estimation of an ergodic diffusion process based on sampled data
- Ergodic BSDEs under weak dissipative assumptions
- Adapted solution of a backward stochastic differential equation
- Quasi-likelihood analysis for the stochastic differential equation with jumps
- Ergodic BSDEs and related PDEs with Neumann boundary conditions
- Estimation of parameters for diffusion processes with jumps from discrete observations
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Estimation for diffusion processes from discrete observation
- Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
- On polynomial mixing bounds for stochastic differential equations
- Malliavin calculus, geometric mixing, and expansion of diffusion functionals
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Terminal-dependent statistical inference for the FBSDEs models
- LAN property for ergodic diffusions with discrete observations
- Ergodic BSDE with unbounded and multiplicative underlying diffusion and application to large time behaviour of viscosity solution of HJB equation
- Terminal-dependent statistical inference for the integral form of FBSDE
- Nonparametric Estimation for FBSDEs Models with Applications in Finance
- A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
- On stability of diffusions with compound-Poisson jumps
- Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations
- Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
- On ergodic stochastic control
- Estimation of an Ergodic Diffusion from Discrete Observations
- Backward Stochastic Differential Equations in Finance
- Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Terminal-Dependent Statistical Inferences for FBSDE
This page was built for publication: Efficient drift parameter estimation for ergodic solutions of backward SDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6608189)