Vinicius Albani

Vinicius Albani, Peter Elbau, Maarten V. de Hoop et al.

In this paper, we prove optimal convergence rates results for regularisation methods for solving linear ill-posed operator equations in Hilbert spaces. The result generalises existing convergence rates results on optimality to general source conditions, such as logarithmic source conditions. Moreover, we also provide optimality results under variational source conditions and show the connection to approximative source conditions.

Vinicius Albani, Uri M. Ascher, Xu Yang et al.

This paper examines issues of data completion and location uncertainty, popular in many practical PDE-based inverse problems, in the context of option calibration via recovery of local volatility surfaces. While real data is usually more accessible for this application than for many others, the data is often given only at a restricted set of locations. We show that attempts to "complete missing data" by approximation or interpolation, proposed in the literature, may produce results that are inferior to treating the data as scarce. Furthermore, model uncertainties may arise which translate to uncertainty in data locations, and we show how a model-based adjustment of the asset price may prove advantageous in such situations. We further compare a carefully calibrated Tikhonov-type regularization approach against a similarly adapted EnKF method, in an attempt to fine-tune the data assimilation process. The EnKF method offers reassurance as a different method for assessing the solution in a problem where information about the true solution is difficult to come by. However, additional advantage in the latter approach turns out to be limited in our context.

Vinicius Albani, Adriano De Cezaro, Jorge P. Zubelli

We address the classical issue of appropriate choice of the regularization and discretization level for the Tikhonov regularization of an inverse problem with imperfectly measured data. We focus on the fact that the proper choice of the discretization level in the domain together with the regularization parameter is a key feature in adequate regularization. We propose a discrepancy-based choice for these quantities by applying a relaxed version of Morozov's discrepancy principle. Indeed, we prove the existence of the discretization level and the regularization parameter satisfying such discrepancy. We also prove associated regularizing properties concerning the Tikhonov minimizers.