on approximation of the bsde with unknown volatility in forward equation

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ID: 193026
2015
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Abstract
We consider the problem of the construction of the backward stochastic differential equation in the Markovian case. We suppose that the forward equation has a diffusion coefficient depending on some unknown parameter. We propose an estimator of this parameter constructed by the discrete time observations of the forward equation and then we use this estimator for approximation of the solution of the backward equation. The question of asymptotic optimality of this approximation is also discussed.
Reference Key
gasparyan2015armenianon Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Samvel Gasparyan;Yury Kutoyants
Journal Anticancer research
Year 2015
DOI
DOI not found
URL
http://test.armjmath.sci.am/index.php/ajm/article/view/111
Keywords
mathematics

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