On approximation of the backward stochastic differential equation

DOI10.1016/J.JSPI.2014.03.002MaRDI QIDQ2453615zbMATH OpenOpenAlexWikidataFDO

Authors Li Zhou, Yu. A. Kutoyants

Publication date 10 June 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.3728

zbMATH Keywords

approximation of solutionsbackward SDEsmall noise asymptotics

Mathematics Subject Classification ID

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

Abstract: We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the diffusion coefficient of this equation is small. We propose an approximation of this solution based on the one-step MLE of the unknown parameter and we show that this approximation is asymptotically efficient in the asymptotics of "small noise".

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Cited in

(18)

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• On the multi-step MLE-process for ergodic diffusion
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales
• Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
• On the estimation of backward stochastic differential equations
• scientific article; zbMATH DE number 1809850 (Why is no real title available?)
• On approximation of the BSDE with unknown volatility in forward equation.
• On score-functions and goodness-of-fit tests for stochastic processes
• On the wavelet-based SWIFT method for backward stochastic differential equations
• Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
• Numerical methods for backward stochastic differential equations: a survey
• Volatility estimation of hidden Markov processes and adaptive filtration
• On ADF goodness-of-fit tests for perturbed dynamical systems

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