CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (Q4959400)
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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 |
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CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (English)
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13 September 2021
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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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