Parameter estimation on forward-backward stochastic differential equations

DOI10.1360/N012017-00256MaRDI QIDQ5064073zbMATH OpenWikidataFDO

Authors

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationforward-backward stochastic differential equationdiscrete observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(5)

• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
• Semi-Parametric Estimation for Forward–Backward Stochastic Differential Equations
• Parameter estimation in SDEs via the Fokker-Planck equation: likelihood function and adjoint based gradient computation
• Forward and backward filtering based on backward stochastic differential equations
• On approximation of BSDE and multi-step MLE-processes

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