ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

Handle URI:
http://hdl.handle.net/10754/599033
Title:
ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
Authors:
MARKOWICH, P. A.; MATEVOSYAN, N.; PIETSCHMANN, J.-F.; WOLFRAM, M.-T.
Abstract:
We discuss existence and uniqueness of solutions for a one-dimensional parabolic evolution equation with a free boundary. This problem was introduced by Lasry and Lions as description of the dynamical formation of the price of a trading good. Short time existence and uniqueness is established by a contraction argument. Then we discuss the issue of global-in-time-extension of the local solution which is closely related to the regularity of the free boundary. We also present numerical results. © 2009 World Scientific Publishing Company.
Citation:
MARKOWICH PA, MATEVOSYAN N, PIETSCHMANN J-F, WOLFRAM M-T (2009) ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION. Mathematical Models and Methods in Applied Sciences 19: 1929–1957. Available: http://dx.doi.org/10.1142/S0218202509003978.
Publisher:
World Scientific Pub Co Pte Lt
Journal:
Mathematical Models and Methods in Applied Sciences
KAUST Grant Number:
KUK-I1-007-43
Issue Date:
Oct-2009
DOI:
10.1142/S0218202509003978
Type:
Article
ISSN:
0218-2025; 1793-6314
Sponsors:
This publication is based on work supported by Award No. KUK-I1-007-43 of Peter Markowich, made by King Abdullah University of Science and Technology (KAUST) and by the Leverhulme Trust through the Research Grant entitled "KINETIC AND MEAN FIELD PARTIAL DIFFERENTIAL MODELS FOR SOCIO-ECONOMIC PROCESSES" (PI Peter Markowich).
Appears in Collections:
Publications Acknowledging KAUST Support

Full metadata record

DC FieldValue Language
dc.contributor.authorMARKOWICH, P. A.en
dc.contributor.authorMATEVOSYAN, N.en
dc.contributor.authorPIETSCHMANN, J.-F.en
dc.contributor.authorWOLFRAM, M.-T.en
dc.date.accessioned2016-02-25T13:51:35Zen
dc.date.available2016-02-25T13:51:35Zen
dc.date.issued2009-10en
dc.identifier.citationMARKOWICH PA, MATEVOSYAN N, PIETSCHMANN J-F, WOLFRAM M-T (2009) ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION. Mathematical Models and Methods in Applied Sciences 19: 1929–1957. Available: http://dx.doi.org/10.1142/S0218202509003978.en
dc.identifier.issn0218-2025en
dc.identifier.issn1793-6314en
dc.identifier.doi10.1142/S0218202509003978en
dc.identifier.urihttp://hdl.handle.net/10754/599033en
dc.description.abstractWe discuss existence and uniqueness of solutions for a one-dimensional parabolic evolution equation with a free boundary. This problem was introduced by Lasry and Lions as description of the dynamical formation of the price of a trading good. Short time existence and uniqueness is established by a contraction argument. Then we discuss the issue of global-in-time-extension of the local solution which is closely related to the regularity of the free boundary. We also present numerical results. © 2009 World Scientific Publishing Company.en
dc.description.sponsorshipThis publication is based on work supported by Award No. KUK-I1-007-43 of Peter Markowich, made by King Abdullah University of Science and Technology (KAUST) and by the Leverhulme Trust through the Research Grant entitled "KINETIC AND MEAN FIELD PARTIAL DIFFERENTIAL MODELS FOR SOCIO-ECONOMIC PROCESSES" (PI Peter Markowich).en
dc.publisherWorld Scientific Pub Co Pte Lten
dc.subjectFree boundary problemen
dc.subjectPartial differential equationsen
dc.subjectPrice formationen
dc.titleON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATIONen
dc.typeArticleen
dc.identifier.journalMathematical Models and Methods in Applied Sciencesen
dc.contributor.institutionUniversity of Cambridge, Cambridge, United Kingdomen
dc.contributor.institutionUniversitat Wien, Vienna, Austriaen
kaust.grant.numberKUK-I1-007-43en
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