Sökning: "Mikael Helin"

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  1. 1. Inverse Parameter Estimation using Hamilton-Jacobi Equations

    Magister-uppsats, KTH/Numerisk analys, NA

    Författare :Mikael Helin; [2013]
    Nyckelord :Hamilton-Jacobi equation. Optimal control. Euler method.; Hamilton-Jacobi ekvationer. Optimal styrning. Eulers stegmetoder;

    Sammanfattning : Inthis degree project, a solution on a coarse grid is recovered by fitting apartial differential equation to a few known data points. The PDE to consideris the heat equation and the Dupire’s equation with their synthetic data,including synthetic data from the Black-Scholes formula. LÄS MER