On approximation of BSDE and multi-step MLE-processes

DOI10.1186/S41546-016-0005-0MaRDI QIDQ2296084zbMATH OpenOpenAlexWikidataFDO

Authors Yu. A. Kutoyants

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-016-0005-0

zbMATH Keywords

backward stochastic differential equationBlack and Scholes modelmulti-step MLE-processparameter estimationsmall noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(11)

• Method of moments estimators and multi-step MLE for Poisson processes
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
• On approximation of the backward stochastic differential equation
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
• On approximation of the BSDE with unknown volatility in forward equation.
• A posteriori estimates for backward SDEs
• Numerical methods for backward stochastic differential equations: a survey
• Volatility estimation of hidden Markov processes and adaptive filtration
• One-step statistical estimation method for generalized linear models
• Dissipative cascaded multistep backward stochastic differential equation (BSDE) with polynomial growth
• Nonparametric estimation of forward-backward stochastic differential equations with random terminal time

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