A non-local free boundary problem arising in a theory of financial bubbles

DOI10.1098/rsta.2013.0404zbMath1353.91049OpenAlexW2038485518WikidataQ42157498 ScholiaQ42157498MaRDI QIDQ2955718

Régis Monneau, José Alexandre Scheinkman, Henri Berestycki

Publication date: 13 January 2017

Published in: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.2013.0404

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions, Partial differential equation models in the socio-economic sciences, Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles, Bubbles in assets with finite life, Iterative scheme for an elliptic non-local free boundary problem

Cites Work

• Asset price bubbles from heterogeneous beliefs about~mean reversion rates
• Perron's method for Hamilton-Jacobi equations
• The regularity of free boundaries in higher dimensions
• Uniqueness and existence of spirals moving by forced mean curvature motion
• Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
• Compactness methods in free boundary problems
• User’s guide to viscosity solutions of second order partial differential equations