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A regularization method for the numerical solution of elliptic boundary control problems with pointwise state constraints

Tröltzsch, Fredi; Yousept, I. - In: Computational optimization and applications : an … 42 (2009) 1, pp. 43-66

Persistent link: https://www.econbiz.de/10003810114

Dynamic Models of the Firm

Blok, M.W.J.; Tröltzsch, F. - In: Mathematical methods of operations research 45 (1997) 3, pp. 306-308

Persistent link: https://www.econbiz.de/10006630567

A sequential quadratic programming method for volatility estimation in option pricing

Düring, Bertram; Jüngel, Ansgar; Volkwein, S. - 2006

Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian - to ensure that every SQP step is a...

Persistent link: https://www.econbiz.de/10010266922