Controllabilty and stability analysis on a group associated with Black-Scholes equation

• Autorzy: Tiwari Archana , Bhattacharyya Debanjana , Pati K. C.

Identyfikatory

DOI

10.24425/acs.2020.134677

• Języki publikacji: EN

Abstrakty

EN

In this paper we have studied the driftless control system on a Lie group which arises due to the invariance of Black-Scholes equation by conformal transformations. These type of studies are possible as Black-Scholes equation can be mapped to one dimensional free Schrödinger equation. In particular we have studied the controllability, optimal control of the resulting dynamics as well as stability aspects of this system. We have also found out the trajectories of the states of the system through two unconventional integrators along with conventional Runge-Kutta integrator.

Słowa kluczowe

EN

Black-Scholes equation; Schrödinger equation; Lie group; optimal control; stability; numerical integration

• Wydawca: Polish Academy of Sciences, Committee of Automatic Control and Robotics
• Czasopismo: Archives of Control Sciences
• Rocznik: 2020
• Tom: Vol. 30, No. 3
• Strony: 553--573
• Opis fizyczny: Bibliogr. 18 poz., rys., tab., wykr., wzory

Twórcy

autor

Tiwari Archana

• Department of Mathematics, National Institute of Technology, Rourkela, Odisha, India.

autor

Bhattacharyya Debanjana

• Department of Mathematics, National Institute of Technology, Rourkela, Odisha, India.

autor

Pati K. C.

• Department of Mathematics, National Institute of Technology, Rourkela, Odisha, India.

Bibliografia

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Uwagi

EN

Prof. K. C. Pati likes to thank SERB, DST for financial support through grant no. EMR/2016/006969.