Data assimilation in price formation

DOI10.1088/1361-6420/AB6D5AMaRDI QIDQ5113624zbMATH OpenOpenAlexFDO

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

Publication date 15 June 2020

Published in Inverse Problems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(2)

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

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