Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations
From MaRDI portal
Publication:5298157
DOI10.1137/16M1066099zbMath1355.35184arXiv1603.04786MaRDI QIDQ5298157
Marie-Therese Wolfram, Josef Teichmann, Peter Alexander Markowich
Publication date: 13 December 2016
Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.04786
Asymptotic behavior of solutions to PDEs (35B40) Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (5)
A stochastic Stefan-type problem under first-order boundary conditions ⋮ Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model ⋮ Price formation model with zero-Neumann boundary condition ⋮ Data assimilation in price formation ⋮ A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
- Large-scale dynamics of mean-field games driven by local Nash equilibria
- On the asymptotic behavior of a Boltzmann-type price formation model
- On a price formation free boundary model by Lasry and Lions
- On a price formation free boundary model by Lasry and Lions: the Neumann problem
- Kinetic models of opinion formation
- Mean field games
- Kinetic models for the trading of goods
- Asymptotics for a symmetric equation in price formation
- On a Boltzmann Mean Field Model for Knowledge Growth
- Evolution of wealth in a non-conservative economy driven by local Nash equilibria
- Wealth distribution and collective knowledge: a Boltzmann approach
- Analysis of splitting methods for reaction-diffusion problems using stochastic calculus
- ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
- The zero set of a solution of a parabolic equation.
- Global Existence and Uniqueness of Solutions to a Model of Price Formation
- Stochastic Equations in Infinite Dimensions
- On a Boltzmann-type price formation model
- Stochastic Partial Differential Equations with Levy Noise
This page was built for publication: Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations