Linear inverse problems for Markov processes and their regularisation

DOI10.1016/J.SPA.2019.11.009MaRDI QIDQ2182626zbMATH OpenOpenAlexWikidataFDO

Authors Umut Cetin

Publication date 26 May 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.04918, http://eprints.lse.ac.uk/102633/1/LINEAR_INVERSE_PROBLEMS_FOR_MARKOV_PROCESSES_AND.pdf

zbMATH Keywords

inverse problemspectral theorysymmetric Markov processesill-posed Cauchy problemregularisation of inverse problems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Jump processes on general state spaces (60J76)

Abstract: We study the solutions of the inverse problem [ g(z)=int f(y) P_T(z,dy) ] for a given $g$, where $(P_t(cdot,cdot){)}_{tgeq0}$ is the transition function of a given Markov process, $X$, and $T$ is a fixed deterministic time, which is linked to the solutions of the ill-posed Cauchy problem [ u_t + A u=0, qquad u(0,cdot)=g, ] where $A$ is the generator of $X$. A necessary and sufficient condition ensuring square integrable solutions is given. Moreover, a family of regularisations for the above problems is suggested. We show in particular that these inverse problems have a solution when $X$ is replaced by $xiX+(1-xi)J$, where $xi$ is a Bernoulli random variable, whose probability of success can be chosen arbitrarily close to $1$, and $J$ is a suitably constructed jump process.

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