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On Inverse Problem of Determination of the Coefficient in the Black-Scholes Type Equation

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Finite Difference Methods. Theory and Applications (FDM 2018)

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Abstract

We prove the existence and uniqueness theorems for inverse problem of determination of the lower coefficient in the Black-Scholes type equation with additional condition of integral observation. These results are based on the investigation of unique solvability of corresponding direct problem which is of independent interest. We give the example of the inverse problem for which the conditions of the theorems proved are fulfilled.

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Acknowledgements

This work was partially supported by the Program of competitiveness increase of the National Research Nuclear University MEPhI (Moscow Engineering Physics Institute); contract No. 02.a03.21.0005, 27.08.2013.

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Authors and Affiliations

  1. National Research Nuclear University MEPhI (Moscow Engineering Physics Institute), 31, Kashirskoe shosse, 115409, Moscow, Russia

    Vitaly L. Kamynin & Tatiana I. Bukharova

Authors
  1. Vitaly L. Kamynin
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  2. Tatiana I. Bukharova
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Corresponding author

Correspondence to Vitaly L. Kamynin .

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Editors and Affiliations

  1. IICT, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Ivan Dimov

  2. Eötvös Loránd University, Budapest, Hungary

    István Faragó

  3. University of Rousse, Rousse, Bulgaria

    Lubin Vulkov

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Kamynin, V.L., Bukharova, T.I. (2019). On Inverse Problem of Determination of the Coefficient in the Black-Scholes Type Equation. In: Dimov, I., Faragó, I., Vulkov, L. (eds) Finite Difference Methods. Theory and Applications. FDM 2018. Lecture Notes in Computer Science(), vol 11386. Springer, Cham. https://doi.org/10.1007/978-3-030-11539-5_35

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  • DOI: https://doi.org/10.1007/978-3-030-11539-5_35

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-11538-8

  • Online ISBN: 978-3-030-11539-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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