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A note on uniqueness of parameter identification in a jump diffusion model

In this note, we consider an inverse problem in a jump diffusion model. Using
characteristic functions we prove the injectivity of the forward operator mapping
the five parameters determining the model to the density function of the return
distribution.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18380
Date07 October 2005
CreatorsStarkloff, Hans-Jörg, Düvelmeyer, Dana, Hofmann, Bernd
PublisherTechnische Universität Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rightsinfo:eu-repo/semantics/openAccess
Relationurn:nbn:de:swb:ch1-200501214, qucosa:18370

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