Inverse problem and concentration method of a continuous-in-time financial model

被引：3

作者：

Chakkour, Tarik ^{[1
]}

Frenod, Emmanuel ^{[1
]}

机构：

[1] Univ Bretagne Sud, Lab Math Atlantic Brittany, UMR 6205, LMBA, F-56000 Vannes, France

来源：

INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2016年 / 3卷 / 02期

关键词：

Inverse problem; financial model; concentrated measure; mathematical model;

D O I：

10.1142/S242478631650016X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In a continuous-in-time model, there is an important financial quantity called Loan which cannot be determined directly in terms of algebraic spending but has a major impact on the financial strategy. In this paper, we use a mathematical framework to discuss an inverse problem of determining the implied Loan Measure from Algebraic Spending Measure when it is possible. In addition, we build a numerical method to concentrate a measure as a sum of Dirac masses.

引用

页数：20

共 50 条

[41] Optimal trajectory planning for the herding problem: a continuous time model
Shedied, Samy A.
INTERNATIONAL JOURNAL OF MACHINE LEARNING AND CYBERNETICS, 2013, 4 (01) : 25 - 30
[42] Numerical solution method for the inverse problem of the modified fitzhugh–nagumo model
I. A. Pavel’chak
S. R. Tuikina
Computational Mathematics and Modeling, 2012, 23 (2) : 208 - 215
[43] THE KIDNEY MODEL AS AN INVERSE PROBLEM
BREINBAUER, M
LORY, P
APPLIED MATHEMATICS AND COMPUTATION, 1991, 44 (03) : 195 - 223
[44] Inverse Problem of a Tumor Model
魏英超
陶有山
郭谦
Journal of Donghua University(English Edition), 2010, 27 (05) : 649 - 655
[45] Inverse problem of a tumor model
Wei, Ying-Chao
Tao, You-Shan
Guo, Qian
Journal of Donghua University (English Edition), 2010, 27 (05) : 649 - 655
[46] Exploration of an augmented set of Leggett-Garg inequalities using a noninvasive continuous-in-time velocity measurement
Majidy, Shayan-Shawn
Katiyar, Hemant
Anikeeva, Galit
Halliwell, Jonathan
Laflamme, Raymond
PHYSICAL REVIEW A, 2019, 100 (04)
[47] A spreadsheet method for continuous-time model identification
Aliane, Nourdine
Fernandez, Javier
Bemposta, Sergio
MEASUREMENT, 2013, 46 (01) : 680 - 687
[48] Classification of Cardiac Arrhythmias Based on Artificial Neural Networks and Continuous-in-Time Discrete-in-Amplitude Signal Flow
Zhao, Yang
Lin, Simon
Shang, Zhongxia
Lian, Yong
2019 IEEE INTERNATIONAL CONFERENCE ON ARTIFICIAL INTELLIGENCE CIRCUITS AND SYSTEMS (AICAS 2019), 2019, : 175 - 178
[49] The method of central difference for the inverse time-dependent heat source problem
Yang, Fan
Guo, HengZhen
Li, XiaoXiao
APPLIED MATHEMATICS AND COMPUTATION, 2011, 218 (07) : 3025 - 3034
[50] THE METHOD OF FUNDAMENTAL SOLUTIONS FOR THE INVERSE TIME-DEPENDENT PERFUSION COEFFICIENT PROBLEM
Shahsahebi, F. S.
Damirchi, J.
Janmohammadi, A.
TWMS JOURNAL OF APPLIED AND ENGINEERING MATHEMATICS, 2021, 11 (03): : 751 - 761

← 1 2 3 4 5 →