On Approximation of the BSDE with Unknown Volatility in Forward Equation
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 observ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Republic of Armenia National Academy of Sciences
2015-05-01
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| Series: | Armenian Journal of Mathematics |
| Online Access: | http://armjmath.sci.am/index.php/ajm/article/view/111 |