Math in finance or vice versa

Posts Tagged ‘lagrangian

Trading task in classic mechanics

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In physics, action is an attribute of system dynamics. By definition it is a functional over trajectory or history of the system:
S = \int_0^T L\left(q(t),\dot{q}(t),t\right) dt
where L is the Lagrangian. The real beauty of such description lies in developed and well studied mechanism of equation solutions.

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Written by fxpaul

February 10, 2012 at 09:20