PT Unknown
AU Stephan, A
TI On an inverse problem of financial mathematics with error in the operator
PD 04
PY 2014
LA en
DE Kalibrierung; nichtlinear; schlecht gestellt; fehlerbehaftet; zufällig; Inverses Problem; stochastischen Markovmodell
AB This thesis adheres to study a calibration problem for the so-called Markovfunctional models (MFMs) from the statistical point of view. It is shown that at each step of the calibration procedure one has to solve a nonlinear inverse problem with an operator estimated in the previous step. We propose a novel regularisation method and verify the rate-of-convergence.
ER