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Some stability results of parameter identification in a jump diffusion model

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.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18372
Date06 October 2005
CreatorsDüvelmeyer, Dana
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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