Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

DOI10.1137/16M1066099zbMath1355.35184arXiv1603.04786MaRDI QIDQ5298157

Marie-Therese Wolfram, Josef Teichmann, Peter Alexander Markowich

Publication date: 13 December 2016

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.04786

zbMATH Keywords

long time asymptoticsLasry and Lions price formation modelmass fluctuations

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Microeconomic theory (price theory and economic markets) (91B24) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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