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Showing 2017 · math.APShow all
3 papers · 2 filters
math.AP2017★ 3 cited
Stable reconstruction of the volatility in a regime-switching local volatility model
Mourad Bellassoued, Raymond Brummelhuis, Michel Cristofol +1
Prices of European call options in a regime-switching local volatility model can be computed by solving a parabolic system which generalises the classical Black and Scholes equatio…
math.AP2017★ 23 cited
Lipschitz stability for an inverse hyperbolic problem of determining two coefficients by a finite number of observations
L. Beilina, M. Cristofol, S. Li +1
We consider an inverse problem of reconstructing two spatially varying coefficients in an acoustic equation of hyperbolic type using interior data of solutions with suitable choice…
math.AP2017
Reduced fluid models for self-propelled particles interacting through alignment
M. Bostan, J. A. Carrillo
The asymptotic analysis of kinetic models describing the behavior of particles interacting through alignment is performed. We will analyze the asymptotic regime corresponding to la…