On a price formation free boundary model by Lasry and Lions

DOI10.1016/J.CRMA.2011.05.011MaRDI QIDQ550405zbMATH OpenOpenAlexFDO

Authors Luis Caffarelli, Peter Alexander Markowich, Jan-Frederik Pietschmann

Publication date 8 July 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1121

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Differential games (aspects of game theory) (91A23) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: We discuss global existence and asymptotic behaviour of a price formation free boundary model introduced by Lasry & Lions in 2007. Our results are based on a construction which transforms the problem into the heat equation with specially prepared initial datum. The key point is that the free boundary present in the original problem becomes the zero level set of this solution. Using the properties of the heat operator we can show global existence, regularity and asymptotic results of the free boundary.

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Cites work

• Asymptotics for a free boundary model in price formation
• Global Existence and Uniqueness of Solutions to a Model of Price Formation
• Mean field games
• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

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• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• A symmetry problem with applications to finance
• A stochastic partial differential equation model for limit order book dynamics
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• Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model
• scientific article; zbMATH DE number 7689517 (Why is no real title available?)
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