Burger, Martin, Pietschmann, Jan-Frederik and Wolfram, Marie-Therese (2020) Data assimilation in price formation. Inverse Problems, 36 (6). 064003. doi:10.1088/1361-6420/ab6d5a ISSN 0266-5611.
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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 et al., see \cite{Puel2002}, and results in a optimal control problem. We analyse 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.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics |
| Library of Congress Subject Headings (LCSH): | Prices , Prices -- Mathematical models , Control theory -- Mathematical models, Control theory -- Computer programs |
| Journal or Publication Title: | Inverse Problems |
| Publisher: | Institute of Physics Publishing Ltd. |
| ISSN: | 0266-5611 |
| Official Date: | 28 May 2020 |
| Dates: | Date Event 28 May 2020 Published 20 January 2020 Available 15 January 2020 Accepted |
| Volume: | 36 |
| Number: | 6 |
| Article Number: | 064003 |
| DOI: | 10.1088/1361-6420/ab6d5a |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Re-use Statement: | "This is an author-created, un-copyedited version of an article accepted for publication in Inverse Problems. IOP Publishing Ltd is not responsible for any errors or omissions in this version of the manuscript or any version derived from it. The Version of Record is available online at https://doi.org/10.1088/1361-6420/ab6d5a |
| Access rights to Published version: | Open Access (Creative Commons open licence) |
| Copyright Holders: | © 2020 IOP Publishing Ltd |
| Date of first compliant deposit: | 14 January 2020 |
| Date of first compliant Open Access: | 27 April 2020 |
| RIOXX Funder/Project Grant: | Project/Grant ID RIOXX Funder Name Funder ID EP/P01240X/1 [EPSRC] Engineering and Physical Sciences Research Council |
| Related URLs: | |
| URI: | https://wrap.warwick.ac.uk/131620/ |
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