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
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| English | Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions |
scientific article; zbMATH DE number 7394619 |
Statements
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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0.7987186312675476
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0.7542919516563416
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0.7527161240577698
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0.7472233176231384
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