Stable reconstruction of the volatility in a regime-switching local-volatility model
DOI10.3934/mcrf.2019036zbMath1434.35279arXiv1710.03172OpenAlexW2968740932WikidataQ127355768 ScholiaQ127355768MaRDI QIDQ2175621
Mourad Bellassoued, Michel Cristofol, Eric Soccorsi, R. G. M. Brummelhuis
Publication date: 29 April 2020
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.03172
inverse problemregime-switching modelstability inequalitylocal-volatilityparabolic Carleman inequality
Inverse problems for PDEs (35R30) Derivative securities (option pricing, hedging, etc.) (91G20) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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