Data assimilation in price formation

DOI10.1088/1361-6420/AB6D5AzbMATH Open1443.91159arXiv1905.13733OpenAlexW3099849420MaRDI QIDQ5113624FDOQ5113624

Jan-Frederik Pietschmann, M-T Wolfram, Martin Burger

Publication date: 15 June 2020

Published in: Inverse Problems (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1905.13733

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zbMATH Keywords

price formationdual optimal controldata assimilation and inverse problems

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Duality theory (optimization) (49N15)

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Cited In (2)

• Optimal control and inverse problems
• A numerical algorithm for inverse problem from partial boundary measurement arising from mean field game problem

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