Inverse problem and concentration method of a continuous-in-time financial model
نویسندگان
چکیده
In a continuous-in-time model there is the important financial quantity called Loan which can not 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.
منابع مشابه
A novel computational procedure based on league championship algorithm for solving an inverse heat conduction problem
Inverse heat conduction problems, which are one of the most important groups of problems, are often ill-posed and complicated problems, and their optimization process has lots of local extrema. This paper provides a novel computational procedure based on finite differences method and league championship algorithm to solve a one-dimensional inverse heat conduction problem. At the beginning, we u...
متن کاملInverse problem stability of a continuous-in-time financial model
In this work, we study the inverse problem stability of the continuous-in-time model which is designed to be used for the finances of public institutions. We discuss this study with determining the Loan Measure from Algebraic Spending Measure in Radon measure spaceM([tI,Θmax]), and in Hilbert space L([tI,Θmax]) when they are density measures. For this inverse problem we prove the uniqueness the...
متن کاملA Continuous Optimization Model for Partial Digest Problem
The pupose of this paper is modeling of Partial Digest Problem (PDP) as a mathematical programming problem. In this paper we present a new viewpoint of PDP. We formulate the PDP as a continuous optimization problem and develope a method to solve this problem. Finally we constract a linear programming model for the problem with an additional constraint. This later model can be solved by the simp...
متن کاملبرآورد توأم هدایت هیدرولیکی اشباع خاک و تخلخل مؤثر با استفاده از رویکرد مسأله معکوس هوشمند
Soil saturated hydraulic conductivity (k) and effective porosity (f) are the most important parameters to simulate the processes associated with irrigation, drainage, hydrology, leaching and other agricultural and hydrological processes. Present methods to measure these parameters are often difficult, time consuming and costly. Therefore, a method which provides more accurate estimates of these...
متن کاملExamination of Quadrotor Inverse Simulation Problem Using Trust-Region Dogleg Solution Method
In this paper, the particular solution technique for inverse simulation applied to the quadrotor maneuvering flight is investigated. The trust-region dogleg (DL) technique which is proposed alleviates the weakness of Newton’s method used for numerical differentiation of system states in the solution process. The proposed technique emphasizes global convergence solution to the inverse simulatio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2017