Ill-posedness and multi-parameter regularization in an identification problem for jump diffusion processes

DOI10.1002/PAMM.200510284zbMATH Open1395.91508OpenAlexW2050942396MaRDI QIDQ3177037FDOQ3177037

Authors: Dana Düvelmeyer 

Publication date: 26 July 2018

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200510284

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• scientific article; zbMATH DE number 7024036

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (1)

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

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