2,025 research outputs found
Inverse Problems for Matrix Exponential in System Identification: System Aliasing
This note addresses identification of the -matrix in continuous time
linear dynamical systems on state-space form. If this matrix is partially known
or known to have a sparse structure, such knowledge can be used to simplify the
identification. We begin by introducing some general conditions for solvability
of the inverse problems for matrix exponential. Next, we introduce "system
aliasing" as an issue in the identification of slow sampled systems. Such
aliasing give rise to non-unique matrix logarithms. As we show, by imposing
additional conditions on and prior knowledge about the -matrix, the issue of
system aliasing can, at least partially, be overcome. Under conditions on the
sparsity and the norm of the -matrix, it is identifiable up to a finite
equivalence class.Comment: 7 page
Sensitivity analysis in a market with memory
A general market model with memory is considered in terms of stochastic
functional differential equations. We aim at representation formulae for the
sensitivity analysis of the dependence of option prices on the memory. This
implies a generalization of the concept of delta.Comment: Withdrawn by the authors due to an error in equation (2.6). A new
work is in preparatio
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