ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION-Reference-Cited by-同舟云学术

ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

Published:2009-10 Issue:10 Volume:19 Page:1929-1957
ISSN:0218-2025
Container-title:Mathematical Models and Methods in Applied Sciences
language:en
Short-container-title:Math. Models Methods Appl. Sci.

Author:

MARKOWICH P. A.¹,MATEVOSYAN N.¹,PIETSCHMANN J.-F.¹,WOLFRAM M.-T.¹

Affiliation:

1. Department of Applied Mathematics and Theoretical Physics, University of Cambridge, Wilberforce Road, Cambridge CB3 0WA, UK

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

Applied Mathematics,Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218202509003978

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