In this paper, we consider an unknown source problem for the modified Helmholtz equation. The Tikhonov regularization method in Hilbert scales is extended to deal with ill-posedness of the problem. An a priori strateg...In this paper, we consider an unknown source problem for the modified Helmholtz equation. The Tikhonov regularization method in Hilbert scales is extended to deal with ill-posedness of the problem. An a priori strategy and an a posteriori choice rule have been present to obtain the regularization parameter and corresponding error estimates have been obtained. The smoothness parameter and the a priori bound of exact solution are not needed for the a posteriori choice rule. Numerical results are presented to show the stability and effectiveness of the method.展开更多
This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is ...This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds; (2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical error in the computation of the operator.展开更多
文摘In this paper, we consider an unknown source problem for the modified Helmholtz equation. The Tikhonov regularization method in Hilbert scales is extended to deal with ill-posedness of the problem. An a priori strategy and an a posteriori choice rule have been present to obtain the regularization parameter and corresponding error estimates have been obtained. The smoothness parameter and the a priori bound of exact solution are not needed for the a posteriori choice rule. Numerical results are presented to show the stability and effectiveness of the method.
基金supported by US National Science Foundation (Grant No. SES-0631613)the Cowles Foundation for Research in Economics
文摘This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds; (2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical error in the computation of the operator.
