CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS
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Publication:4959400
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
Lévy processesKolmogorov-Fokker-Planck equationIMEX numerical methodnon-parametric maximum likelihood methodoptimal control of PIDE
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)
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