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

DOI10.1002/PAMM.200510284MaRDI QIDQ3177037zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

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

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