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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…
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…
Simultaneous determination of the drift and diffusion coefficients in stochastic differential equations
Michel Cristofol, Lionel Roques
In this work, we consider a one-dimensional It{ô} diffusion process X t with possibly nonlinear drift and diffusion coefficients. We show that, when the diffusion coefficient is kn…
Uniqueness and stability of time and space-dependent conductivity in a hyperbolic cylindrical domain
L. Beilina, M. Cristofol, S. Li
This paper is devoted to the reconstruction of the time and space-dependent coefficient in an infinite cylindrical hyperbolic domain. Using a local Carleman estimate we prove the u…
Inverse Problem for a Curved Quantum Guide
Laure Cardoulis, Michel Cristofol
In this paper, we consider the Dirichlet Laplacian operator -Δ on a curved quantum guide in R n (n = 2, 3) with an asymptotically straight reference curve. We give uniqueness resul…
Identification of the twisting function for the dynamic Schrödinger operator in a quantum waveguide
Mourad Bellassoued, Michel Cristofol, Eric Soccorsi
In this paper we examine the inverse problem of determining the twisting function for the dynamicSchrodinger operator in a quantum waveguide from some suitable localized, either in…