A Free Boundary Model for Price Formation
Presenter
January 14, 2011
Keywords:
- applied PDE
- partial differential equations
- boundary layers and boundary conditions
- mathematical finance
- existence and uniqueness results for PDEs
MSC:
- 35R35
- 35R37
- 35-xx
- 35Qxx
- 35Q91
- 35Q93
Abstract
We study a model, due to J.M. Lasry and P.L. Lions, describing the evolution of a scalar price which is realized as a free boundary in a one dimensional diffusion equation with dynamically evolving, non-standard sources. We establish global existence and uniqueness. This is joint work with L. Chayes, M. Gualdani and I. Kim.