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.

引用

页数：20

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