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Data assimilation in price formation

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 28 May 2020Embargo end date: 01 Jan 2019 Germany Publisher:IOP PublishingJournal:Inverse Problems, volume 36, page 64,003 (issn: 0266-5611, eissn: 1361-6420,

Authors: Martin Burger; Jan-Frederik Pietschmann; Marie-Therese Wolfram;

doi: 10.1088/1361-6420/ab6d5a , 10.48550/arxiv.1905.13733

arXiv: http://arxiv.org/abs/1905.13733

Data assimilation in price formation

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Abstract

Abstract We consider the problem of estimating the density of buyers and vendors in a nonlinear parabolic price formation model using measurements of the price and the transaction rate. Our approach is based on a work by Puel (Puel J-P 2002 C. R. Acad. Sci., Paris 335 (2) 161–166), and results in an optimal control problem. We analyze this problems and provide stability estimates for the controls as well as the unknown density in the presence of measurement errors. Our analytic findings are supported with numerical experiments.

Country

Germany

Related Organizations

University of Augsburg
Germany
University of Warwick
United Kingdom
University of Erlangen-Nuremberg
Germany
Chemnitz University of Technology
Germany

Keywords

ddc:510, Mathematics - Analysis of PDEs, Optimization and Control (math.OC), HB, FOS: Mathematics, Mathematics - Numerical Analysis, Numerical Analysis (math.NA), QA, Mathematics - Optimization and Control, Analysis of PDEs (math.AP)

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