On a price formation free boundary model by Lasry and Lions

DOI10.1016/J.CRMA.2011.05.011zbMATH Open1216.91012arXiv1105.1121OpenAlexW2054000234MaRDI QIDQ550405FDOQ550405

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)

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.

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

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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)

Cites Work

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

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