On a price formation free boundary model by Lasry and Lions: the Neumann problem
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Publication:639614
DOI10.1016/j.crma.2011.07.006zbMath1233.91336arXiv1106.3851OpenAlexW2149711467MaRDI QIDQ639614
Marie-Therese Wolfram, Luis A. Caffarelli, Peter Alexander Markowich
Publication date: 22 September 2011
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.3851
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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Cites Work
- Asymptotics for a free boundary model in price formation
- On a price formation free boundary model by Lasry and Lions
- Mean field games
- On the Muckenhoupt condition
- Riesz bases of exponentials and sine-type functions
- ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
- Global Existence and Uniqueness of Solutions to a Model of Price Formation
