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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2014, Volume 287, Pages 140–161
DOI: https://doi.org/10.1134/S0371968514040098
(Mi tm3586)
 

This article is cited in 9 scientific papers (total in 9 papers)

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

Yury A. Kutoyantsab

a Laboratoire Manceau de Mathématiques, Université du Maine, Le Mans, France
b National Research University "Higher School of Economics", Moscow, Russia
Full-text PDF (285 kB) Citations (9)
References:
Abstract: We present a review of some recently obtained results on estimation of the solution of a backward stochastic differential equation (BSDE) in the Markovian case. We suppose that the forward equation depends on some finite-dimensional unknown parameter. We consider the problem of estimating this parameter and then use the proposed estimator to estimate the solution of the BSDE. This last estimator is constructed with the help of the solution of the corresponding partial differential equation. We are interested in three observation models admitting a consistent estimation of the unknown parameter: small noise, large samples and unknown volatility. In the first two cases we have a continuous time observation, and the unknown parameter is in the drift coefficient. In the third case the volatility of the forward equation depends on the unknown parameter, and we have discrete time observations. The presented estimators of the solution of the BSDE in the three casesmentioned are asymptotically efficient.
Received in July 2014
English version:
Proceedings of the Steklov Institute of Mathematics, 2014, Volume 287, Issue 1, Pages 133–154
DOI: https://doi.org/10.1134/S0081543814080094
Bibliographic databases:
Document Type: Article
UDC: 517.926+519.217
Language: Russian
Citation: Yury A. Kutoyants, “Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases”, Stochastic calculus, martingales, and their applications, Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday, Trudy Mat. Inst. Steklova, 287, MAIK Nauka/Interperiodica, Moscow, 2014, 140–161; Proc. Steklov Inst. Math., 287:1 (2014), 133–154
Citation in format AMSBIB
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\by Yury~A.~Kutoyants
\paper Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
\inbook Stochastic calculus, martingales, and their applications
\bookinfo Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
\serial Trudy Mat. Inst. Steklova
\yr 2014
\vol 287
\pages 140--161
\publ MAIK Nauka/Interperiodica
\publaddr Moscow
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\crossref{https://doi.org/10.1134/S0371968514040098}
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  • This publication is cited in the following 9 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Труды Математического института имени В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
     
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