Recent Developments in Inverse Problems - Abstract

Pietschmann, Jan-Frederik

Data assimilation applied to a model for price formation

We consider the problem of reconstructing the unknown initial data for a model of price formation given measurements of the price itself and the transaction rate. This yields to a so-called data assimilation problem. Using an adjoint approach we can reduce the problem to an optimal control problem with data on a curve. We present controllability results and numerical examples.