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

DOI10.24425/acs.2020.134677zbMath1457.93022OpenAlexW4384927326MaRDI QIDQ5150049

K. C. Pati, Debanjana Bhattacharyya, Archana Tiwari

Publication date: 9 February 2021

Published in: Archives of Control Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.24425/acs.2020.134677

zbMATH Keywords

stabilityoptimal controlnumerical integrationLie groupSchrödinger equationBlack-Scholes equation

Mathematics Subject Classification ID

Controllability (93B05) Control/observation systems governed by partial differential equations (93C20) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Derivative securities (option pricing, hedging, etc.) (91G20) Schrödinger operator, Schrödinger equation (35J10)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Preserving Poisson structure and orthogonality in numerical integration of differential equations
• Control theory from the geometric viewpoint.
• Classification and Casimir invariants of Lie-Poisson brackets
• Discretization of the Lagrange Top
• On the Product of Semi-Groups of Operators
• Motion control of drift-free, left-invariant systems on Lie groups
• A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting

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