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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…