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pro vyhledávání: '"Zuicha Deng"'
Publikováno v:
AIMS Mathematics, Vol 6, Iss 4, Pp 3432-3454 (2021)
Kolmogorov-type equations often appear in stochastic analysis and have important applications in financial derivatives pricing, stochastic control and other fields. In this paper, we consider an inverse problem of reconstructing drift coefficient in
Externí odkaz:
https://doaj.org/article/08fe28c0e79746ac85768fb6961788d1
Autor:
Yilihamujiang Yimamu, Zuicha Deng
Publikováno v:
Mathematics, Vol 10, Iss 15, p 2608 (2022)
Based on the theoretical framework of the Black–Scholes model, the convergence of the inverse volatility problem based on the degenerate parabolic equation is studied. Being different from other inverse volatility problems in classical parabolic eq
Externí odkaz:
https://doaj.org/article/7934e82a3f614f909b7296ff6891c541
Publikováno v:
AIMS Mathematics, Vol 6, Iss 4, Pp 3432-3454 (2021)
Kolmogorov-type equations often appear in stochastic analysis and have important applications in financial derivatives pricing, stochastic control and other fields. In this paper, we consider an inverse problem of reconstructing drift coefficient in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90e0418d20d804ff998e1dd78815d4aa
https://doi.org/10.3934/math.2021205
https://doi.org/10.3934/math.2021205