Tikhonov regularization for simultaneous inversion of initial value and source term of a time-fractional Black-Scholes equation

被引：0
|
作者：
Wu, Hanghang [1 ]
Yang, Hongqi [2 ]
机构：
[1] Sun Yat Sen Univ, Sch Comp Sci & Engn, Guangzhou, Peoples R China
[2] Sun Yat Sen Univ, Sch Comp Sci & Engn, Guangdong Prov Key Lab Computat Sci, Guangzhou 510006, Peoples R China
来源：
MATHEMATICAL METHODS IN THE APPLIED SCIENCES | 2024年
关键词：
error estimation; ill-posed problem; simultaneous inversion of the initial value and source term problem; Tikhonov regularization method; time-fractional Black-Scholes equation; BOUNDARY-VALUE METHOD; DIFFERENCE APPROXIMATION; FOURIER REGULARIZATION; BACKWARD PROBLEM; CAUCHY-PROBLEM; OPTIONS;
D O I：
10.1002/mma.10268
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper studies simultaneous inversion of initial value and source term of a time-fractional Black-Scholes equation. This problem is ill-posed, and we use Tikhonov regularization method to solve it. Under the selection rules of a priori and a posteriori regularization parameters, a priori and a posteriori H & ouml;lder type error estimates are derived. Finally, numerical experiments demonstrate the stability and effectiveness of the proposed regularization method.
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页数：20
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