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pro vyhledávání: '"Cristofol, Michel"'
Prices of European call options in a regime-switching local volatility model can be computed by solving a parabolic system which generalises the classical Black and Scholes equation, giving these prices as functionals of the local volatilities. We pr
Externí odkaz:
http://arxiv.org/abs/1710.03172
Autor:
Cristofol, Michel, Roques, Lionel
In this work, we consider a one-dimensional It{\^o} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is known, the drift coefficient is uniquely determined by an observation
Externí odkaz:
http://arxiv.org/abs/1702.06859
Akademický článek
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Autor:
Cardoulis, Laure, Cristofol, Michel
In this paper, we consider the Dirichlet Laplacian operator -{\Delta} on a curved quantum guide in R n (n = 2, 3) with an asymptotically straight reference curve. We give uniqueness results for the inverse problem associated to the reconstruction of
Externí odkaz:
http://arxiv.org/abs/1602.01060
In this paper we examine the inverse problem of determining the twisting function for the dynamicSchrodinger operator in a quantum waveguide from some suitable localized, either interior or boundary.
Externí odkaz:
http://arxiv.org/abs/1512.07762
We consider the inverse problem of the simultaneous reconstruction of the dielectric permittivity and magnetic permeability functions of the Maxwell's system in 3D with limited boundary observations of the electric field. The theoretical stability fo
Externí odkaz:
http://arxiv.org/abs/1512.00675
We consider the multidimensional inverse problem of determining the conductivity coefficient of a hyperbolic equation in an infinite cylindrical domain, from a single boundary observation of the solution. We prove H{\"o}lder stability with the aid of
Externí odkaz:
http://arxiv.org/abs/1501.01384
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a collectio
Externí odkaz:
http://arxiv.org/abs/1301.7569
Publikováno v:
Inverse Problems 28, 9 (2012) 095009
We consider the inverse problem of determining the isotropic inhomogeneous electromagnetic coefficients of the non-stationary Maxwell equations in a bounded domain of R^3, from a finite number of boundary measurements. Our main result is a H\"older s
Externí odkaz:
http://arxiv.org/abs/1210.2293
Autor:
Cristofol, Michel, Soccorsi, Eric
Publikováno v:
Applicable Analysis 90, 10 (2011) 1499-1520
We consider the inverse problem of determining the time dependent magnetic field of the Schr\"odinger equation in a bounded open subset of $R^n$, with $n \geq 1$, from a finite number of Neumann data, when the boundary measurement is taken on an appr
Externí odkaz:
http://arxiv.org/abs/1209.5924