Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions

Calibration of Lévy processes using optimal control of Kolmogorov equations with periodic boundary conditions

We present an optimal control approach to the problem of model calibration for Lévy processes based on an non-parametric estimation procedure of the measure. The optimization problem is related to the maximum likelihood theory of sieves [25] and is formulated with the Fokker-Planck-Kolmogorov approa...

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Bibliographic Details
Main Authors: Mario Annunziato, Hanno Gottschalk
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2018-06-01
Series:Mathematical Modelling and Analysis
Subjects:
optimal control of PIDE
Kolmogorov-Fokker-Planck equation
Lévy processes
non-parametric maximum likelihood method
IMEX numerical method
Online Access:https://journals.vgtu.lt/index.php/MMA/article/view/2814

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