CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (Q4959400)
From MaRDI portal
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
CALIBRATION OF LÉVY PROCESSES USING OPTIMAL CONTROL OF KOLMOGOROV EQUATIONS WITH PERIODIC BOUNDARY CONDITIONS (English)
0 references
13 September 2021
0 references
optimal control of PIDE
0 references
Kolmogorov-Fokker-Planck equation
0 references
Lévy processes
0 references
non-parametric maximum likelihood method
0 references
IMEX numerical method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
