Calibration of léVY Processes using Optimal control of Kolmogorov equations with periodic boundary conditions.
Mario AnnunziatoHanno GottschalkPublished in: Math. Model. Anal. (2018)
Keyphrases
- optimal control
- boundary conditions
- boundary value problem
- control problems
- linear quadratic
- hamilton jacobi bellman
- navier stokes equations
- dynamic programming
- optimal control problems
- control strategy
- feedback control
- infinite horizon
- reinforcement learning
- risk sensitive
- shape from shading
- class of nonlinear systems
- reaction diffusion
- sufficient conditions
- control law
- finite element model
- brownian motion
- poisson equation
- variational inequalities
- spline interpolation
- mathematical model
- linear systems