A connection between uniqueness of minimizers in Tikhonov-type regularization and Morozov-like discrepancy principles

DOI10.3934/ipi.2019012OpenAlexW2903745787WikidataQ128713025 ScholiaQ128713025MaRDI QIDQ667787

Adriano De Cezaro, Vinicius V. L. Albani

Publication date: 1 March 2019

Published in: Inverse Problems and Imaging (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/ipi.2019012

zbMATH Keywords

discrepancy principlesTikhonov-type regularizationlocal volatility calibrationuniqueness of minimizers

Mathematics Subject Classification ID

Inverse problems for PDEs (35R30) Nonlinear ill-posed problems (47J06) Numerical solution to inverse problems in abstract spaces (65J22)

Related Items

Morozov's discrepancy principle for \(\alpha\ell_1-\beta\ell_2\) sparsity regularization ⋮ A splitting strategy for the calibration of jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On the choice of the Tikhonov regularization parameter and the discretization level: a discrepancy-based strategy
• Convex regularization of local volatility models from option prices: convergence analysis and rates
• Regularization methods in Banach spaces.
• Variational methods in imaging
• The use of Morozov's discrepancy principle for Tikhonov regularization for solving nonlinear ill-posed problems
• Using the \(L\)-curve for determining optimal regularization parameters
• Local volatility dynamic models
• An inexact Newton regularization in Banach spaces based on the nonstationary iterated Tikhonov method
• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION
• Convergence rates for Morozov's discrepancy principle using variational inequalities
• Convergence rates for Tikhonov regularisation of non-linear ill-posed problems
• Analysis of Discrete Ill-Posed Problems by Means of the L-Curve
• Applications of the Modified Discrepancy Principle to Tikhonov Regularization of Nonlinear Ill-Posed Problems
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• The inverse problem of option pricing
• Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
• On Maximum Entropy Regularization for a Specific Inverse Problem of Option Pricing
• On Weakly Nonlinear Inverse Problems
• The tangential cone condition for the iterative calibration of local volatility surfaces
• Morozov's discrepancy principle for Tikhonov-type functionals with nonlinear operators
• Computational Methods for Option Pricing
• Tikhonov regularization applied to the inverse problem of option pricing: convergence analysis and rates