Controllabilty and stability analysis on a group associated with Black-Scholes equation
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Polish Academy of Sciences
2020-09-01
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| Series: | Archives of Control Sciences |
| Subjects: | |
| Online Access: | https://journals.pan.pl/Content/117710/PDF/art07.pdf |