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20112021
most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

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math.ST2021

Efficient drift parameter estimation for ergodic solutions of backward SDEs

Teppei Ogihara, Mitja Stadje

We derive consistency and asymptotic normality results for quasi-maximum likelihood methods for drift parameters of ergodic stochastic processes observed in discrete time in an und…