Confidence Intervals for Linear Forward-backward Stochastic Differential Equations

摘要：

Forward-Backward Stochastic Differential Equations (short as FBSDE) are widely used in finance and economy. Yet, there is few statistical results about it. In this paper, we construct the confidence intervals for the coefficients of the linear FBSDE based on the asymptotic normality. Simulation results are reported in terms of coverage accuracy and average lengths of confidence intervals.

关键词： asymptotic normality forward-backward stochastic differential equation confidence intervals

作者: SU Yuxia WANG Yutian

作者单位: School of Mathematics, Qufu Normal University, Qufu, Shandong, P.R.China, 273165 School of Information Technology and Communication, Qufu Normal University, Rizhao,Shandong, P.R .Ch

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 204-211

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）