ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

DOI10.1142/S0218202509003978zbMath1183.35278MaRDI QIDQ3647613

Marie-Therese Wolfram, Jan-Frederik Pietschmann, Norayr Matevosyan, Peter Alexander Markowich

Publication date: 23 November 2009

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

free boundary problempartial differential equationsprice formation

Mathematics Subject Classification ID

Trade models (91B60) Free boundary problems for PDEs (35R35) Initial value problems for second-order parabolic equations (35K15)

Related Items (16)

Diversifications of Serrin's and related symmetry problems ⋮ Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations ⋮ Instability and bifurcation in a trend depending price formation model ⋮ A mean field game price model with noise ⋮ A symmetry problem with applications to finance ⋮ Partial differential equation models in the socio-economic sciences ⋮ Data assimilation in price formation ⋮ On a price formation free boundary model by Lasry and Lions: the Neumann problem ⋮ Unnamed Item ⋮ A mean-field game approach to price formation ⋮ Classical Solutions for a Nonlinear Fokker-Planck Equation Arising in Computational Neuroscience ⋮ Some non-standard Sobolev spaces, interpolation and its application to PDE ⋮ On a price formation free boundary model by Lasry and Lions ⋮ Global Existence and Uniqueness of Solutions to a Model of Price Formation ⋮ Hölder stability for Serrin's overdetermined problem ⋮ Particle-without-particle: a practical pseudospectral collocation method for linear partial differential equations with distributional sources

Cites Work

• Kinetic theories and the Boltzmann equation. Lectures given at the 1st 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Montecatini, Italy, June 10-18, 1981
• Mean field games. I: The stationary case
• Towards a self-consistent theory of volatility
• Mean field games. II: Finite horizon and optimal control
• Mean field games
• Large investor trading impacts on volatility
• Fokker-Planck equations as scaling limits of reversible quantum systems
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Large Investor Trading Impacts on Volatility
• Generation of Semi-Groups of Nonlinear Transformations on General Banach Spaces

This page was built for publication: ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION