| Title:
|
On exact null controllability of Black-Scholes equation (English) |
| Author:
|
Sakthivel, Kumarasamy |
| Author:
|
Balachandran, Krishnan |
| Author:
|
Sowrirajan, Rangarajan |
| Author:
|
Kim, Jeong-Hoon |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
5 |
| Year:
|
2008 |
| Pages:
|
685-704 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
In this paper we discuss the exact null controllability of linear as well as nonlinear Black–Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the control is distributed over a subdomain. The proof of the linear problem relies on a Carleman estimate and observability inequality for its own dual problem and that of the nonlinear one relies on the infinite dimensional Kakutani fixed point theorem with $L^2$ topology. (English) |
| Keyword:
|
Black–Scholes equation |
| Keyword:
|
volatility |
| Keyword:
|
controllability |
| Keyword:
|
observability |
| Keyword:
|
Carleman estimates |
| MSC:
|
45K05 |
| MSC:
|
47N10 |
| MSC:
|
91B28 |
| MSC:
|
91G10 |
| MSC:
|
93B05 |
| MSC:
|
93C20 |
| MSC:
|
93E03 |
| idZBL:
|
Zbl 1177.93021 |
| idMR:
|
MR2479312 |
| . |
| Date available:
|
2009-09-24T20:39:10Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135882 |
| . |
| Reference:
|
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