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Ill‐posedness and multi‐parameter regularization in an identification problem for jump diffusion processes
Author(s) -
Düvelmeyer Dana
Publication year - 2005
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200510284
Subject(s) - jump diffusion , jump , regularization (linguistics) , jump process , identification (biology) , diffusion process , inverse problem , diffusion , mathematics , econometrics , computer science , mathematical optimization , statistical physics , mathematical analysis , physics , innovation diffusion , artificial intelligence , thermodynamics , knowledge management , botany , quantum mechanics , biology
In many financial applications jump diffusion processes are used to describe price dynamics of assets. Therefore, methods to estimate the parameters of this stochastic process from some market data are required. Here we briefly discuss the unique and stable solvability of this specific inverse problem. (© 2005 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)