Approximation of BSDE with hidden forward equation and unknown volatility
نویسندگان
چکیده
The focus is on the approximation of solution BSDE in case where forward equation observed presence small Gaussian noise. volatility considered to depend some unknown parameter. This made several steps. First a preliminary estimator obtained, then using Kalman-Bucy filtration equations and Fisher-score device one-step MLE-process this parameter constructed. approximated by means PDE One-step MLE-process. error described different metrics.
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2023
ISSN: ['2452-3062', '2468-0389']
DOI: https://doi.org/10.1016/j.ecosta.2023.01.002