In this paper a method is presented which allows for estimation of the location and rate of an unknown point stationary source of passive atmospheric pollutant in a complex urban geometry. The variational formulation is used in which the cost function characterizing difference of the calculated...

A numerical procedure for an inverse problem of identification of an unknown source in a heat equation is presented. Approach of proposed method is to approximate unknown function by polygons linear pieces which are determined consecutively from the solution of minimization problem based on the...

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...

We consider a semiparametric distributed lag model in which the "news impact curve" m isnonparametric but the response is dynamic through some linear filters. A special case ofthis is a nonparametric regression with serially correlated errors. We propose an estimatorof the news impact curve...

In this paper we are concerned with analyzing the behavior of a semiparametric estimator which corrects for endogeneity in a nonparametric regression by assuming mean independence of residuals from instruments only. Because it is common in many applications, we focus on the case where endogenous...

We propose a new method to calibrate the local volatility function of an asset from observed option prices of the underlying. Our method is initialized with a preprocessing step in which the given data are smoothened using cubic splines before they are differentiated numerically. In a second...

In this paper, we address the problem of recovering the local volatility surface from option prices consistent with observed market data. We revisit the implied volatility problem and derive an explicit formula for the implied volatility together with bounds for the call price and its derivative...

We consider the general issue of estimating a nonparametric function x from the inverse problem r = Tx given estimates of the function r and of the linear transform T. Two typical examples include the estimation of a probability density function fromdata contaminated by a noise whose...