Data assimilation in price formation

Burger M, Pietschmann JF, Wolfram MT (2020)

Publication Type: Journal article

Publication year: 2020

Journal

Inverse Problems Institute of Physics: Hybrid Open Access

Book Volume: 36

Journal Issue: 6

DOI: 10.1088/1361-6420/ab6d5a

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.

Authors with CRIS profile

Martin Burger Lehrstuhl für Angewandte Mathematik (Modellierung und Numerik)

Involved external institutions

Technische Universität Chemnitz DE Germany (DE) University of Warwick GB United Kingdom (GB)

How to cite

APA:

Burger, M., Pietschmann, J.-F., & Wolfram, M.-T. (2020). Data assimilation in price formation. Inverse Problems, 36(6). https://dx.doi.org/10.1088/1361-6420/ab6d5a

MLA:

Burger, Martin, Jan-Frederik Pietschmann, and Marie-Therese Wolfram. "Data assimilation in price formation." Inverse Problems 36.6 (2020).

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