Approximation of the solution of the backward stochastic differential equation. Small noise, large sample and high frequency cases
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Publication:492172
DOI10.1134/S0081543814080094zbMath1327.60014WikidataQ115247998 ScholiaQ115247998MaRDI QIDQ492172
Publication date: 20 August 2015
Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)
Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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