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Static hedging of barrier options with a smile : an inverse problem

Claude Bardos, Raphaël Douady, Andrei Fursikov (2002)

ESAIM: Control, Optimisation and Calculus of Variations

Let L be a parabolic second order differential operator on the domain Π ¯ = 0 , T × . Given a function u ^ : R and x ^ > 0 such that the support of u ^ is contained in ( - , - x ^ ] , we let y ^ : Π ¯ be the solution to the equation: L y ^ = 0 , y ^ | { 0 } × = u ^ . Given positive bounds 0 < x 0 < x 1 , we seek a function u with support in x 0 , x 1 such that the corresponding solution y satisfies: y ( t , 0 ) = y ^ ( t , 0 ) t 0 , T . We prove in this article that, under some regularity conditions on the coefficients of L , continuous solutions are unique and dense in the sense that y ^ | [ 0 , T ] × { 0 } can be C 0 -approximated, but an exact solution does not...

Static Hedging of Barrier Options with a Smile: An Inverse Problem

Claude Bardos, Raphaël Douady, Andrei Fursikov (2010)

ESAIM: Control, Optimisation and Calculus of Variations

Let L be a parabolic second order differential operator on the domain Π ¯ = 0 , T × . Given a function u ^ : R and x ^ > 0 such that the support of û is contained in ( - , - x ^ ] , we let y ^ : Π ¯ be the solution to the equation: L y ^ = 0 , y ^ | { 0 } × = u ^ . Given positive bounds 0 < x 0 < x 1 , we seek a function u with support in x 0 , x 1 such that the corresponding solution y satisfies: y ( t , 0 ) = y ^ ( t , 0 ) t 0 , T . We prove in this article that, under some regularity conditions on the coefficients of L, continuous solutions are unique and dense in the sense that y ^ | [ 0 , T ] × { 0 } can be C0-approximated, but an exact solution...

The Back and Forth Nudging algorithm for data assimilation problems : theoretical results on transport equations

Didier Auroux, Maëlle Nodet (2012)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we consider the back and forth nudging algorithm that has been introduced for data assimilation purposes. It consists of iteratively and alternately solving forward and backward in time the model equation, with a feedback term to the observations. We consider the case of 1-dimensional transport equations, either viscous or inviscid, linear or not (Burgers’ equation). Our aim is to prove some theoretical results on the convergence,...

The Back and Forth Nudging algorithm for data assimilation problems : theoretical results on transport equations

Didier Auroux, Maëlle Nodet (2012)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we consider the back and forth nudging algorithm that has been introduced for data assimilation purposes. It consists of iteratively and alternately solving forward and backward in time the model equation, with a feedback term to the observations. We consider the case of 1-dimensional transport equations, either viscous or inviscid, linear or not (Burgers’ equation). Our aim is to prove some theoretical results on the convergence, and convergence properties, of this algorithm. We...

The Back and Forth Nudging algorithm for data assimilation problems : theoretical results on transport equations

Didier Auroux, Maëlle Nodet (2012)

ESAIM: Control, Optimisation and Calculus of Variations

In this paper, we consider the back and forth nudging algorithm that has been introduced for data assimilation purposes. It consists of iteratively and alternately solving forward and backward in time the model equation, with a feedback term to the observations. We consider the case of 1-dimensional transport equations, either viscous or inviscid, linear or not (Burgers’ equation). Our aim is to prove some theoretical results on the convergence,...

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