In this paper we discuss the stable solvability of the inverse problem of parameter identification in a jump diffusion model. Therefore we introduce the forward
operator of this inverse problem and analyze its properties. We show continuity of
the forward operator and stability of the inverse problem provided that the domain
is restricted in a specific manner such that techniques of compact sets can be exploited. Furthermore, we show that there is an asymptotical non-injectivity which
causes instability problems whenever the jump intensity increases and the jump
heights decay simultaneously.
| Identifer | oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18372 |
| Date | 06 October 2005 |
| Creators | Düvelmeyer, Dana |
| 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 |
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