Differential Flatness Theory for Distributed Parameter Systems

2015 ◽  
pp. 613-670
Author(s):  
Gerasimos G. Rigatos
Keyword(s):  
Distributed Parameter Systems ◽  
Distributed Parameter ◽  
Differential Flatness ◽  
Differential Flatness Theory

Distributed Parameter Systems Control and Its Applications to Financial Engineering

2018 ◽  
pp. 15-35
Author(s):  
Gerasimos Rigatos ◽  
Pierluigi Siano
Keyword(s):  
Differential Equations ◽  
Nonlinear Differential Equations ◽  
Option Price ◽  
Distributed Parameter ◽  
Specific Reference ◽  
Differential Flatness ◽  
Differential Flatness Theory ◽  
Financial Model ◽  
Performance Indexes ◽  
Black Scholes

The chapter analyzes differential flatness theory for the control of single asset and multi-asset option price dynamics, described by PDE models. Through these control methods, stabilization of distributed parameter (PDE modelled) financial systems is achieved and convergence to specific financial performance indexes is made possible. The main financial model used in the chapter is the Black-Scholes PDE. By applying semi-discretization and a finite differences scheme the single-asset (equivalently multi-asset) Black-Scholes PDE is transformed into a state-space model consisting of ordinary nonlinear differential equations. For this set of differential equations it is shown that differential flatness properties hold. This enables to solve the associated control problem and to stabilize the options' dynamics. By showing the feasibility of control of the single-asset (equivalently multi-asset) Black-Scholes PDE it is proven that through selected purchases and sales during the trading procedure, the price of options can be made to converge and stabilize at specific reference values.

Distributed Parameter Systems Control and Its Applications to Financial Engineering

2019 ◽  
pp. 17-45
Author(s):  
Gerasimos Rigatos ◽  
Pierluigi Siano
Keyword(s):  
Differential Equations ◽  
Nonlinear Differential Equations ◽  
State Space Model ◽  
Option Price ◽  
Distributed Parameter ◽  
Specific Reference ◽  
Differential Flatness ◽  
Differential Flatness Theory ◽  
Financial Model ◽  
Black Scholes

The chapter analyzes differential flatness theory for the control of single asset and multi-asset option price dynamics, described by PDE models. Through these control methods, stabilization of distributed parameter (PDE modelled) financial systems is achieved and convergence to specific financial performance indices are made possible. The main financial model used in the chapter is the Black-Scholes PDE. By applying semi-discretization and a finite differences scheme the single-asset (equivalently multi-asset) Black-Scholes PDE is transformed into a state-space model consisting of ordinary nonlinear differential equations. For this set of differential equations, it is shown that differential flatness properties hold. This enables one to solve the associated control problem and to stabilize the options' dynamics. By showing the feasibility of control of the single-asset (equivalently multi-asset) Black-Scholes PDE, it is proven that through selected purchases and sales during the trading procedure, the price of options can be made to converge and stabilize at specific reference values.

Singular distributed parameter systems

1993 ◽  
Vol 140 (5) ◽  
pp. 305 ◽  
Author(s):  
Z. Trzaska ◽  
W. Marszalek
Keyword(s):  
Distributed Parameter Systems ◽  
Distributed Parameter
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