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    Author(s)

    Samvel Gasparyan, PhD. Yury Kutoyants — Academia (Universities, Colleges and other higher learning entities) (Universit´e du Maine Avenue Olivier Messiaen - 72085 Le Mans Cedex 9, France)
    Category: Mathematics
    DOI: https://armjmath.sci.am/index.php/ajm/article/view/111
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      On Approximation of the BSDE withUnknown Volatility in Forward Equation

      Samvel Gasparyan, PhD. Yury Kutoyants — Academia (Universities, Colleges and other higher learning entities) (Universit´e du Maine Avenue Olivier Messiaen - 72085 Le Mans Cedex 9, France)
      This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

      Submitted: 2024-12-18; Published: 2015-05-27
      © 2025 by author(s) and The Gufo Inc.
      CC BY-NC 4.0 This work is licensed under Creative Commons Attribution–NonCommercial International License (CC BY-NC 4.0).

      Abstract

      We consider the problem of the construction ofthe backward stochastic differential equation in the Markoviancase. We suppose that the forward equation has a diffusion coef-ficient depending on some unknown parameter. We propose anestimator of this parameter constructed by the discrete time ob-servations of the forward equation and then we use this estimatorfor approximation of the solution of the backward equation. Thequestion of asymptotic optimality of this approximation is alsodiscussed.

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