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. urn:nbn:de:swb:ch1-200501325
2. https://monarch.qucosa.de/id/qucosa%3A18380
3. https://monarch.qucosa.de/api/qucosa%3A18380/attachment/ATT-0/
4. https://monarch.qucosa.de/api/qucosa%3A18380/attachment/ATT-1/

Tags

info:eu-repo/classification/ddc/510

ddc:510

Inverses Problem

Parameteridentifikation

injectivity

inverse problem

jump diffusion process

parameter identification

stochastic finance

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18380
Date	07 October 2005
Creators	Starkloff, Hans-Jörg, Düvelmeyer, Dana, Hofmann, Bernd
Publisher	Technische Universität Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rights	info:eu-repo/semantics/openAccess
Relation	urn:nbn:de:swb:ch1-200501214, qucosa:18370