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

Description

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.

Links & Downloads

1. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501325
2. urn:nbn:de:swb:ch1-200501325
3. http://www.qucosa.de/fileadmin/data/qucosa/documents/5054/data/t_04_st_du_ho.pdf
4. http://www.qucosa.de/fileadmin/data/qucosa/documents/5054/20050132.txt

Tags

injectivity

inverse problem

jump diffusion process

parameter identification

stochastic finance

ddc:510

Inverses Problem

Parameteridentifikation

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa.de:swb:ch1-200501325
Date	07 October 2005
Creators	Starkloff, Hans-Jörg, Düvelmeyer, Dana, Hofmann, Bernd
Contributors	TU Chemnitz, Fakultät für Mathematik
Publisher	Universitätsbibliothek Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:lecture
Format	application/pdf, text/plain, application/zip
Relation	dcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:swb:ch1-200501214