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

被引：0

作者：

Tiwari, Archana ^{[1
]}

Bhattacharyya, Debanjana ^{[1
]}

Pati, K. C. ^{[1
]}

机构：

[1] Natl Inst Technol, Dept Math, Rourkela 769008, Odisha, India

来源：

ARCHIVES OF CONTROL SCIENCES | 2020年 / 30卷 / 03期

关键词：

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

D O I：

10.24425/acs.2020.134677

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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 Schrodinger 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.

引用

页码：553 / 573

页数：21

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