论文标题
BSDE的近似具有隐藏的前方方程和未知的波动率
Approximation of BSDE with Hidden Forward Equation and Unknown Volatility
论文作者
论文摘要
在本文中，在存在小高斯噪声的情况下观察到前方方程的溶液的情况下，考虑了近似BSDE溶液的问题。我们假设正方程的波动率取决于未知参数。此近似是通过几个步骤进行的。首先，我们获得了未知参数的初步估计器，然后使用Kalman-Bucy过滤方程和Fisher-Score设备，我们构建了此参数的一步MLE程序。通过PDE的溶液和一步MLE过程近似BSDE的溶液。近似的误差在不同的指标中描述。
In the present paper the problem of approximating the solution of BSDE is considered in the case where the solution of forward equation is observed in the presence of small Gaussian noise. We suppose that the volatility of the forward equation depends on an unknown parameter. This approximation is made in several steps. First we obtain a preliminary estimator of the unknown parameter, then using Kalman-Bucy filtration equations and Fisher-score device we construct an one-step MLE-process of this parameter. The solution of BSDE is approximated by means of the solution of PDE and the One-step MLE-process. The error of approximation is described in different metrics.
