Work

Data assimilation in price formation

Year: 2020

Type: article

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.

Source: Inverse Problems

DOI: 10.1088/1361-6420/ab6d5a

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

Institutions: Friedrich-Alexander-Universität Erlangen-Nürnberg, Chemnitz University of Technology, University of Warwick, Johann Radon Institute for Computational and Applied Mathematics

Language: English

Topic: Numerical methods in inverse problems

Subfield: Mathematical Physics

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,325

Funders: Österreichischen Akademie der Wissenschaften, Engineering and Physical Sciences Research Council, FP7 Ideas: European Research Council