Global Existence and Uniqueness of Solutions to a Model of Price Formation

DOI10.1137/090753346MaRDI QIDQ4931701zbMATH OpenOpenAlexFDO

Authors Maria del Mar Gonzalez, Maria Pia Gualdani, Inwon Kim, Lincoln Chayes

Publication date 30 September 2010

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0902.3851

zbMATH Keywords

diffusion equation with nonstandard sourceglobal well-posednesshomogeneous Dirichlet boundary conditionsone space dimension

Mathematics Subject Classification ID

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Positive solutions to PDEs (35B09) A priori estimates in context of PDEs (35B45) Initial-boundary value problems for second-order parabolic equations (35K20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35)

Abstract: We study a model due to J.M. Lasry and P.L. Lions, describing the evolution of a scalar price which is realized as a free boundary in a 1-D diffusion equation with dynamically evolving, non-standard sources. We establish global existence and uniqueness.

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Cited in

(17)

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• Diversifications of Serrin's and related symmetry problems
• Partial differential equation models in the socio-economic sciences
• Instability and bifurcation in a trend depending price formation model
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• A symmetry problem with applications to finance
• Classical Solutions for a Nonlinear Fokker-Planck Equation Arising in Computational Neuroscience
• A stochastic partial differential equation model for limit order book dynamics
• Price formation model with zero-Neumann boundary condition
• Data assimilation in price formation
• Parabolic free boundary price formation models under market size fluctuations
• Asymptotics for a free boundary model in price formation
• On a price formation free boundary model by Lasry and Lions
• Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
• On a price formation free boundary model by Lasry and Lions: the Neumann problem
• Some non-standard Sobolev spaces, interpolation and its application to PDE
• Hölder stability for Serrin's overdetermined problem

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