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

DOI10.3846/MMA.2018.024zbMath1488.93185arXiv1506.08439OpenAlexW2963993461MaRDI QIDQ4959400

Hanno Gottschalk, Mario Annunziato

Publication date: 13 September 2021

Published in: Mathematical Modelling and Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.08439

zbMATH Keywords

Lévy processesKolmogorov-Fokker-Planck equationIMEX numerical methodnon-parametric maximum likelihood methodoptimal control of PIDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimality conditions for problems involving partial differential equations (49K20) Integro-partial differential equations (45K05) Optimal stochastic control (93E20)

Related Items (3)

On the optimal control of a random walk with jumps and barriers ⋮ A Fokker-Planck control framework for stochastic systems ⋮ Parameter identification and uncertainty quantification in stochastic state space models and its application to texture analysis

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