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    ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

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    Type
    Article
    Authors
    MARKOWICH, P. A.
    MATEVOSYAN, N.
    PIETSCHMANN, J.-F.
    WOLFRAM, M.-T.
    KAUST Grant Number
    KUK-I1-007-43
    Date
    2011-11-21
    Online Publication Date
    2011-11-21
    Print Publication Date
    2009-10
    Permanent link to this record
    http://hdl.handle.net/10754/599033
    
    Metadata
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    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.
    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).
    Publisher
    World Scientific Pub Co Pte Lt
    Journal
    Mathematical Models and Methods in Applied Sciences
    DOI
    10.1142/S0218202509003978
    ae974a485f413a2113503eed53cd6c53
    10.1142/S0218202509003978
    Scopus Count
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    Publications Acknowledging KAUST Support

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