CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (Q4959400): Difference between revisions

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scientific article; zbMATH DE number 7394619

Language	Label	Description	Also known as
English	CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS	scientific article; zbMATH DE number 7394619

Statements

instance of

scholarly article

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title

CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (English)

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Mathematical Modelling and Analysis

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publication date

13 September 2021

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full work available at URL

https://arxiv.org/abs/1506.08439

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zbMATH Keywords

optimal control of PIDE

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Kolmogorov-Fokker-Planck equation

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Lévy processes

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non-parametric maximum likelihood method

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IMEX numerical method

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MaRDI profile type

MaRDI publication profile

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cites work

RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER

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OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES

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A Fokker-Planck control framework for multidimensional stochastic processes

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Lévy Processes and Stochastic Calculus

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Spectral calibration of exponential Lévy models

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A jump-diffusion Libor model and its robust calibration

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Q4065773

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Computational Optimization of Systems Governed by Partial Differential Equations

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Implicit-explicit numerical schemes for jump-diffusion processes

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Model Selection and Multimodel Inference

0 references

A practical difference scheme for Fokker-Planck equations

0 references

Nonparametric adaptive estimation for pure jump Lévy processes

0 references

Financial Modelling with Jump Processes

0 references

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

0 references

Q3667689

0 references

A Nonlinear Conjugate Gradient Method with a Strong Global Convergence Property

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Q4865046

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Dynamic optimization and differential games.

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Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation

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Nonparametric maximum likelihood estimation by the method of sieves

0 references

Global Convergence Properties of Conjugate Gradient Methods for Optimization

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The Feynman graph representation of convolution semigroups and its applications to Lévy statistics

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Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

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Q4935982

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hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES

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Analysis of the Chang-Cooper discretization scheme for a class of Fokker-Planck equations

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Numerical Optimization

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M-matrix characterizations. I: nonsingular M-matrices

0 references

Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing

0 references

Lévy processes, integral equations, statistical physics. Connections and interactions

0 references

Conjugate Gradient Methods with Inexact Searches

0 references

Identifiers

zbMATH Open document ID

1488.93185

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DOI

10.3846/mma.2018.024

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4959400

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-Mario Annunziato
@@ Property / author: Mario Annunziato / rank @@
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@@ Property / author: Mario Annunziato / rank @@
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+MaRDI publication profile
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@@ Property / arXiv ID @@
+.08439
@@ Property / arXiv ID: 1506.08439 / rank @@
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@@ Property / cites work @@
+RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER
+Normal rank
@@ Property / cites work @@
+OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES
+Normal rank
@@ Property / cites work @@
+A Fokker-Planck control framework for multidimensional stochastic processes
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral calibration of exponential Lévy models
@@ Property / cites work: Spectral calibration of exponential Lévy models / rank @@
+Normal rank
@@ Property / cites work @@
+A jump-diffusion Libor model and its robust calibration
+Normal rank
@@ Property / cites work @@
+Q4065773
@@ Property / cites work: Q4065773 / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Optimization of Systems Governed by Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Model Selection and Multimodel Inference
@@ Property / cites work: Model Selection and Multimodel Inference / rank @@
+Normal rank
@@ Property / cites work @@
+A practical difference scheme for Fokker-Planck equations
+Normal rank
@@ Property / cites work @@
+Nonparametric adaptive estimation for pure jump Lévy processes
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Q3667689
@@ Property / cites work: Q3667689 / rank @@
+Normal rank
@@ Property / cites work @@
+A Nonlinear Conjugate Gradient Method with a Strong Global Convergence Property
+Normal rank
@@ Property / cites work @@
+Q4865046
@@ Property / cites work: Q4865046 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic optimization and differential games.
@@ Property / cites work: Dynamic optimization and differential games. / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+Nonparametric maximum likelihood estimation by the method of sieves
+Normal rank
@@ Property / cites work @@
+Global Convergence Properties of Conjugate Gradient Methods for Optimization
+Normal rank
@@ Property / cites work @@
+The Feynman graph representation of convolution semigroups and its applications to Lévy statistics
+Normal rank
@@ Property / cites work @@
+Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
+Normal rank
@@ Property / cites work @@
+Q4935982
@@ Property / cites work: Q4935982 / rank @@
+Normal rank
@@ Property / cites work @@
+hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES
+Normal rank
@@ Property / cites work @@
+Analysis of the Chang-Cooper discretization scheme for a class of Fokker-Planck equations
+Normal rank
@@ Property / cites work @@
+Numerical Optimization
@@ Property / cites work: Numerical Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+M-matrix characterizations. I: nonsingular M-matrices
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing
+Normal rank
@@ Property / cites work @@
+Lévy processes, integral equations, statistical physics. Connections and interactions
+Normal rank
@@ Property / cites work @@
+Conjugate Gradient Methods with Inexact Searches
@@ Property / cites work: Conjugate Gradient Methods with Inexact Searches / rank @@
+Normal rank