Linear inverse problems for Markov processes and their regularisation
DOI10.1016/j.spa.2019.11.009zbMath1444.62110arXiv1608.04918OpenAlexW2992760175WikidataQ126623400 ScholiaQ126623400MaRDI QIDQ2182626
Publication date: 26 May 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.04918
inverse problemspectral theorysymmetric Markov processesill-posed Cauchy problemregularisation of inverse problems
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Continuous-time Markov processes on discrete state spaces (60J27) Numerical solutions of ill-posed problems in abstract spaces; regularization (65J20) Jump processes on general state spaces (60J76)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
- Dynamic Markov bridges motivated by models of insider trading
- Log-density estimation in linear inverse problems
- Maximum smoothed likelihood density estimation for inverse problems
- Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Continuous Auctions and Insider Trading
- Stopped distributions for Markov processes in duality
- Dynamic Markov Bridges and Market Microstructure
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Necessary and Sufficient Conditions for the Representation of a Function by a Weierstrass Transform
- Eigenfunction Expansions Associated With Singular Differential Operators
This page was built for publication: Linear inverse problems for Markov processes and their regularisation
