On Approximation of the BSDE with Unknown Volatility in Forward Equation

Samvel Gasparyan; Yury Kutoyants

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Title: On Approximation of the BSDE with Unknown Volatility in Forward Equation

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1829-1163

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Գլխ. խմբ.՝ Անրի Ներսեսյան ; Պատ. խմբ.՝ Լինդա Խաչատրյան ; Խմբ. տեղակալ՝ Ռաֆայել Բարխուդարյան

Coverage:

59-79

Abstract:

We consider the problem of the construction of the backward stochastic differential equation in the Markovian case. We suppose that the forward equation has a diffusion coefficient depending on some unknown parameter. We propose an estimator of this parameter constructed by the discrete time observations of the forward equation and then we use this estimator for approximation of the solution of the backward equation. The question of asymptotic optimality of this approximation is also discussed.

Publisher:

National Academy of Sciences of Armenia

Date created:

2015-05-25

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pdf

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oai:arar.sci.am:13280

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Electronic Open Access Publication of the National Academy of Sciences of Armenia

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ՀՀ ԳԱԱ Հիմնարար գիտական գրադարան

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ՀՀ ԳԱԱ Հիմնարար գիտական գրադարան

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Apr 19, 2024

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Feb 12, 2020

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https://arar.sci.am/publication/15006

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Armenian Journal of Mathematics=Հայկական մաթեմատիկական հանդես

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On Approximation of the BSDE with Unknown Volatility in Forward Equation	Apr 19, 2024

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Title: On Approximation of the BSDE with Unknown Volatility in Forward Equation

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