Asymptotics for a free boundary model in price formation

DOI10.1016/J.NA.2011.02.005MaRDI QIDQ534468zbMATH OpenOpenAlexFDO

Authors Maria del Mar Gonzalez, Maria Pia Gualdani

Publication date 17 May 2011

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.1636

zbMATH Keywords

asymptoticsfree boundaryreaction-diffusioncenter manifoldprice formation

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Initial value problems for second-order parabolic equations (35K15) Free boundary problems for PDEs (35R35) Microeconomic theory (price theory and economic markets) (91B24) Special types of economic equilibria (91B52)

Abstract: We study the asymptotics for large time of solutions to a one dimensional parabolic evolution equation with non-standard measure-valued right hand side, that involves derivatives of the solution computed at a free boundary point. The problem is a particular case of a mean-field free boundary model proposed by Lasry-Lions on price formation and dynamic equilibria. The main step in the proof is based on the fact that the free boundary disappears in the linearized problem, thus can be treated as a perturbation through semigroup theory. This requires a delicate choice for the function spaces since higher regularity is needed near the free boundary. We show global existence for solutions with initial data in a small neighborhood of any equilibrium point, and exponential decay towards a stationary state. Moreover, the family of equilibria of the equation is stable, as follows from center manifold theory.

Recommendations

• Asymptotics for a symmetric equation in price formation
• On a price formation free boundary model by Lasry and Lions
• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• On a price formation free boundary model by Lasry and Lions: the Neumann problem
• Parabolic free boundary price formation models under market size fluctuations

Cites work

• scientific article; zbMATH DE number 3766528 (Why is no real title available?)
• scientific article; zbMATH DE number 2190600 (Why is no real title available?)
• A Two-Sided Contracting Stefan Problem
• A short course on operator semigroups
• Applications of centre manifold theory
• Asymptotics for a symmetric equation in price formation
• Geometric theory of semilinear parabolic equations
• Global Existence and Uniqueness of Solutions to a Model of Price Formation
• Invariant foliations for \(C^1\) semigroups in Banach spaces
• Invariant manifolds and the long-time asymptotics of the Navier-Stokes and vorticity equations on R^2
• Mean field games
• Semigroups of linear operators and applications to partial differential equations
• The supercooled Stefan problem in one dimension

Cited in

(14)

• A symmetry problem with applications to finance
• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• Price formation model with zero-Neumann boundary condition
• Parabolic free boundary price formation models under market size fluctuations
• Classical Solutions for a Nonlinear Fokker-Planck Equation Arising in Computational Neuroscience
• Global Existence and Uniqueness of Solutions to a Model of Price Formation
• Instability and bifurcation in a trend depending 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
• Some non-standard Sobolev spaces, interpolation and its application to PDE
• Partial differential equation models in the socio-economic sciences
• Continuum Limit and Renormalization of Market Price Dynamics Based on PUCK Model
• Data assimilation in price formation
• Asymptotics for a symmetric equation in price formation

This page was built for publication: Asymptotics for a free boundary model in price formation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q534468)