Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases (Q492172)
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scientific article; zbMATH DE number 6473884
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| English | Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases |
scientific article; zbMATH DE number 6473884 |
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Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases (English)
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20 August 2015
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The author ``present[s] a review of some recently obtained results on [the] estimation of the solution of a backward stochastic differential equation in the Markovian case.'' Two of these results can be found in [\textit{G. Samvel} and \textit{Y. Kutoyants}, Armen. J. Math. 7, No. 1, 59--79 (2015; Zbl 1322.60123)] and [\textit{Y. A. Kutoyants} and \textit{L. Zhou}, J. Stat. Plann. Inference 150, 111--123 (2014; Zbl 1287.62017)].
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backward stochastic differential equation
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approximation
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Markovian processes
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estimation
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