Parameter estimation on forward-backward stochastic differential equations

DOI10.1360/N012017-00256zbMATH Open1499.62103WikidataQ127975056 ScholiaQ127975056MaRDI QIDQ5064073FDOQ5064073

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Publication date: 21 March 2022

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

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• scientific article; zbMATH DE number 758455

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)

Cited In (5)

• On approximation of BSDE and multi-step MLE-processes
• 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
• Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions

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