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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2014, Volume 20, Number 4, Pages 17–28 (Mi timm1111)  
This article is cited in 1 scientific paper (total in 1 paper)

On the estimation of backward stochastic differential equations

B. I. Anan'ev

Institute of Mathematics and Mechanics, Ural Branch of the Russian Academy of Sciences
Full-text PDF (218 kB) Citations (1)
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Abstract: We consider an estimation problem for a backward stochastic differential equation in the presence of statistically indeterminate noise. We use the approach of the theory of guaranteed estimation and assume that the statistically indeterminate noise, as well as some processes entering the equation, is subject to integral constraints. In the linear case, we prove a theorem on the approximation of random information sets by deterministic sets as the diffusion coefficient vanishes. Examples are considered.
Keywords: backward stochastic differential equation, Brownian motion, random information set.
Received: 10.07.2014
English version:
Proceedings of the Steklov Institute of Mathematics (Supplementary issues), 2016, Volume 292, Issue 1, Pages 14–26
DOI: https://doi.org/10.1134/S0081543816020024
Bibliographic databases:
Document Type: Article
UDC: 517.977
Language: Russian
Citation: B. I. Anan'ev, “On the estimation of backward stochastic differential equations”, Trudy Inst. Mat. i Mekh. UrO RAN, 20, no. 4, 2014, 17–28; Proc. Steklov Inst. Math. (Suppl.), 292, suppl. 1 (2016), 14–26
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
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