Homotopy perturbation sparsity regularization method with applications

DOI10.12012/1009-1327(2016)01-0076-08MaRDI QIDQ2983422zbMATH OpenFDO

Authors Yixin Dou, Jianhua Fu

Publication date 17 May 2017

Full work available at URL https://doi.org/10.12012/1009-1327(2016)01-0076-08

zbMATH Keywords

Black-Scholes option pricing modelhomotopy perturbation sparsity regularization methodparameters reconstructionsparsity regularizationTodaro model

Mathematics Subject Classification ID

Numerical solutions to equations with nonlinear operators (65J15) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(5)

• Sparsity-homotopy perturbation inversion method with wavelets and applications to Black-Scholes model and Todaro model
• Weighted thresholding homotopy method for sparsity constrained optimization
• Sparsity regularization for parameter identification problems
• A fast homotopy algorithm for gridless sparse recovery
• An homotopy method for l _p regression provably beyond self-concordance and in input-sparsity time

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