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math.OC2015
Calibration of Lévy Processes using Optimal Control of Kolmogorov Equations with Periodic Boundary Conditions
Mario Annunziato, Hanno Gottschalk
We present an optimal control approach to the problem of model calibration for Lévy processes based on a non parametric estimation procedure. The calibration problem is of consider…
math-ph2015
Quantum fields obtained from convoluted generalized white noise never have positive metric
Sergio Albeverio, Hanno Gottschalk
It is proven that the relativistic quantum fields obtained from analytic continuation of convoluted generalized (Lévy type) noise fields have positive metric, if and only if the no…