A multi-parameter regularization approach for estimating parameters in jump diffusion processes

DOI10.1163/156939406779768274MaRDI QIDQ3421960zbMATH OpenOpenAlexFDO

Authors Dana Düvelmeyer, Bernd Hofmann

Publication date 8 February 2007

Full work available at URL https://doi.org/10.1163/156939406779768274

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(9)

• On a generalization of Regińska's parameter choice rule and its numerical realization in large-scale multi-parameter Tikhonov regularization
• Regularization method for an ill-posed Cauchy problem for elliptic equations
• Distributed learning with multi-penalty regularization
• Multi-parameter Tikhonov regularization and model function approach to the damped Morozov principle for choosing regularization parameters
• Multi-penalty regularization in learning theory
• scientific article; zbMATH DE number 2133113 (Why is no real title available?)
• Ill-posedness and multi-parameter regularization in an identification problem for jump diffusion processes
• Convergence analysis of distributed multi-penalty regularized pairwise learning
• Multi-parameter regularization and its numerical realization

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