Poisson inverse problems

In this paper we focus on nonparametric estimators in inverse problems for Poisson processes involving the use of wavelet decompositions. Adopting an adaptive wavelet Galerkin discretization, we find that our method combines the well-known theoretical advantages of wavelet--vaguelette decompositions for inverse problems in terms of optimally adapting to the unknown smoothness of the solution, together with the remarkably simple closed-form expressions of Galerkin inversion methods. Adapting the results of Barron and Sheu [Ann. Statist. 19 (1991) 1347--1369] to the context of log-intensity functions approximated by wavelet series with the use of the Kullback--Leibler distance between two point processes, we also present an asymptotic analysis of convergence rates that justifies our approach. In order to shed some light on the theoretical results obtained and to examine the accuracy of our estimates in finite samples, we illustrate our method by the analysis of some simulated examples.Comment: Published at http://dx.doi.org/10.1214/009053606000000687 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Nonlinear estimation for linear inverse problems with error in the operator

We study two nonlinear methods for statistical linear inverse problems when the operator is not known. The two constructions combine Galerkin regularization and wavelet thresholding. Their performances depend on the underlying structure of the operator, quantified by an index of sparsity. We prove their rate-optimality and adaptivity properties over Besov classes.Comment: Published in at http://dx.doi.org/10.1214/009053607000000721 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Bayesian linear inverse problems in regularity scales

We obtain rates of contraction of posterior distributions in inverse problems defined by scales of smoothness classes. We derive abstract results for general priors, with contraction rates determined by Galerkin approximation. The rate depends on the amount of prior concentration near the true function and the prior mass of functions with inferior Galerkin approximation. We apply the general result to non-conjugate series priors, showing that these priors give near optimal and adaptive recovery in some generality, Gaussian priors, and mixtures of Gaussian priors, where the latter are also shown to be near optimal and adaptive. The proofs are based on general testing and approximation arguments, without explicit calculations on the posterior distribution. We are thus not restricted to priors based on the singular value decomposition of the operator. We illustrate the results with examples of inverse problems resulting from differential equations.Comment: 34 page

Review of modern numerical methods for a simple vanilla option pricing problem

Option pricing is a very attractive issue of financial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given financial market model. The increasing complexity of these market assumptions contributes to the popularity of the numerical treatment of option valuation. Therefore, the pricing and hedging of plain vanilla options under the Black–Scholes model usually serve as a bench-mark for the development of new numerical pricing approaches and methods designed for advanced option pricing models. The objective of the paper is to present and compare the methodological concepts for the valuation of simple vanilla options using the relatively modern numerical techniques in this issue which arise from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verification of simple vanilla option prices. The resulting numerical schemes represent a particularly effective option pricing tool that enables some features of options that are depend-ent on the discretization of the computational domain as well as the order of the polynomial approximation to be captured better

Adaptive boundary element methods with convergence rates

This paper presents adaptive boundary element methods for positive, negative, as well as zero order operator equations, together with proofs that they converge at certain rates. The convergence rates are quasi-optimal in a certain sense under mild assumptions that are analogous to what is typically assumed in the theory of adaptive finite element methods. In particular, no saturation-type assumption is used. The main ingredients of the proof that constitute new findings are some results on a posteriori error estimates for boundary element methods, and an inverse-type inequality involving boundary integral operators on locally refined finite element spaces.Comment: 48 pages. A journal version. The previous version (v3) is a bit lengthie

Deconvolution in white noise with a random blurring function

We consider the problem of denoising a function observed after a convolution with a random filter independent of the noise and satisfying some mean smoothness condition depending on an ill posedness coefficient. We establish the minimax rates for the Lp risk over balls of periodic Besov spaces with respect to the level of noise, and we provide an adaptive estimator achieving these rates up to log factors. Simulations were performed to highlight the effects of the ill posedness and of the distribution of the filter on the efficiency of the estimator

An optimal adaptive Fictitious Domain Method

We consider a Fictitious Domain formulation of an elliptic partial differential equation and approximate the resulting saddle-point system using an inexact preconditioned Uzawa iterative algorithm. Each iteration entails the approximation of an elliptic problems performed using adaptive finite element methods. We prove that the overall method converges with the best possible rate and illustrate numerically our theoretical findings

Adaptive Spectral Galerkin Methods with Dynamic Marking

The convergence and optimality theory of adaptive Galerkin methods is almost exclusively based on the D\"orfler marking. This entails a fixed parameter and leads to a contraction constant bounded below away from zero. For spectral Galerkin methods this is a severe limitation which affects performance. We present a dynamic marking strategy that allows for a super-linear relation between consecutive discretization errors, and show exponential convergence with linear computational complexity whenever the solution belongs to a Gevrey approximation class.Comment: 20 page