Armenian Journal of Mathematics, 7(1)
2015; 59–79
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On Approximation of the BSDE withUnknown Volatility in Forward Equation

Samvel Gasparyan*, Yury Kutoyants

Received: 2024-12-18 · Published: 2015-05-27

© 2015 The Author(s) and the original publisher.

CC BY 4.0 This work is licensed under a Creative Commons Attribution 4.0 International License.
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Originally published in Armenian Journal of Mathematics, 7(1), 2015.

Original title
On Approximation of the BSDE withUnknown Volatility in Forward Equation
Authors
Samvel Gasparyan, Yury Kutoyants
Source journal
Armenian Journal of Mathematics, 7(1)
Published
2015-05-27
Licence
Creative Commons Attribution 4.0 International
Original
https://armjmath.sci.am/index.php/ajm/article/view/111

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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