Semi-parametric estimation for Forward-Backward
首发时间:2009-01-12
Abstract:In this paper, we suggest a semi-parametric estimation for Forward-Backward Stochastic Differential Equations (FBSDE), with a linear generator. Both the nonparametric and parametric estimators are computationally feasible and the asymptotic properties are standard in the sense of normality. Although there is a plug-in nonparametric estimator in parametric estimation, the high order kernel, under-smoothing and bias correction are notrequired. Some simulation studies are also given to illustrate our methods.
keywords: Semi-parametric model Forward-Backward stochastic Equations Asymptotic normality
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No.2762537545912317****
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