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: 2024-12-19 · 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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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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