Asymptotics for a symmetric equation in price formation

DOI10.1007/S00245-008-9052-YMaRDI QIDQ2272166zbMATH OpenOpenAlexFDO

Authors Maria del Mar Gonzalez, Maria Pia Gualdani

Publication date 6 August 2009

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-008-9052-y

zbMATH Keywords

diffusion equationasymptotic decaymean field modeldynamical equilibrium in price formation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 2190600 (Why is no real title available?)
• Asymptotic L^1-decay of solutions of the porous medium equation to self-similarity
• Asymptotics for a free boundary model in price formation
• Exponential convergence toward equilibrium for homogeneous Fokker-Planck-type equations
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• Large investor trading impacts on volatility
• Mean field games
• Nonlinear Fokker-Planck equations. Fundamentals and applications.
• The Fokker-Planck equation. Methods of solution and applications.
• Towards a self-consistent theory of volatility

Cited in

(10)

• Analysis of nonlinear noisy integrate \& fire neuron models: blow-up and steady states
• Price formation model with zero-Neumann boundary condition
• Classical Solutions for a Nonlinear Fokker-Planck Equation Arising in Computational Neuroscience
• Parabolic free boundary price formation models under market size fluctuations
• Asymptotics for a free boundary model in price formation
• Some non-standard Sobolev spaces, interpolation and its application to PDE
• On a price formation free boundary model by Lasry and Lions
• Instability and bifurcation in a trend depending price formation model
• Blow-up, steady states and long time behaviour of excitatory-inhibitory nonlinear neuron models
• On the asymptotic behavior of a Boltzmann-type price formation model

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