The Inverse Problem: Autoregressive Estimators

  • Leonid I. Piterbarg
  • Alexander G. Ostrovskii


Roughly speaking, all numerical solutions of linear partial differential equations can be broken down into two groups: (1) the expansion of the solution in terms of some basis (Galerkin method), and (2) the approximation of derivatives by finite differences. The same is relevant to the inverse problem.


Gaussian Kernel Autoregressive Model Stochastic Partial Differential Equation Linear Partial Differential Equation Stochastic Partial Differential Equa 
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Copyright information

© Springer Science+Business Media Dordrecht 1997

Authors and Affiliations

  • Leonid I. Piterbarg
    • 1
  • Alexander G. Ostrovskii
    • 2
  1. 1.Center for Applied Mathematical SciencesUniversity of Southern CaliforniaLos AngelesUSA
  2. 2.Research Institute for Applied MechanicsKyushu UniversityKasugaJapan

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