On a Boltzmann-type price formation model

Martin Burger, Luis A. Caffarelli, Peter A. Markowich, Marie Therese Wolfram

Research output: Contribution to journalArticlepeer-review

25 Scopus citations

Abstract

In this paper, we present a Boltzmann-type price formation model, which is motivated by a parabolic free boundary model for the evolution of price presented by Lasry and Lions in 2007. We discuss the mathematical analysis of the Boltzmann-type model and show that its solutions converge to solutions of the model by Lasry and Lions as the transaction rate tends to infinity. Furthermore, we analyse the behaviour of the initial layer on the fast time scale and illustrate the price dynamics with various numerical experiments. © 2013 The Author(s) Published by the Royal Society. All rights reserved.
Original languageEnglish (US)
Pages (from-to)20130126
JournalProceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
Volume469
Issue number2157
DOIs
StatePublished - Jul 3 2013

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledgements: L.C. was partially supported by a grant from the DMS division of the NSF. P. A. M. expresses his gratitude to the Humboldt Foundation for awarding the Humboldt ResearchAward to him, which allowed him to spend time with Martin Burger's research group in Munster, where this research was initiated. P. A. M. also acknowledges support from the Paris Foundation of Mathematics. M. T. W. acknowledges support from the Austrian Science Foundation FWF via the Hertha-Firnberg project no. T456-N23. We thank Bertram During (University of Sussex) for the useful hints to literature.

ASJC Scopus subject areas

  • General Physics and Astronomy
  • General Engineering
  • General Mathematics

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