On approximation of the backward stochastic differential equation

DOI10.1016/j.jspi.2014.03.002zbMath1287.62017arXiv1305.3728WikidataQ115345202 ScholiaQ115345202MaRDI QIDQ2453615

Li Zhou, Yury 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

backward SDE; small noise asymptotics; approximation of solutions

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M05: Markov processes: estimation; hidden Markov models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)