Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

Peter A. Markowich; Josef Teichmann; Marie Therese Wolfram

doi:10.1137/16M1066099

Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

Peter A. Markowich, Josef Teichmann, Marie Therese Wolfram

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.

Original language	English (US)
Pages (from-to)	1211-1237
Number of pages	27
Journal	Multiscale Modeling & Simulation
Volume	14
Issue number	4
DOIs	https://doi.org/10.1137/16M1066099
State	Published - Oct 4 2016

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledgements: The first author was partially supported by the NSF. The last author was financially supported by the Austrian Academy of Sciences ( ÖAW) via the New Frontiers Group, NFG-001.

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title = "Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations",

abstract = "In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.",

author = "Markowich, {Peter A.} and Josef Teichmann and Wolfram, {Marie Therese}",

note = "KAUST Repository Item: Exported on 2020-10-01 Acknowledgements: The first author was partially supported by the NSF. The last author was financially supported by the Austrian Academy of Sciences ( {\"O}AW) via the New Frontiers Group, NFG-001.",

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doi = "10.1137/16M1066099",

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AU - Markowich, Peter A.

AU - Teichmann, Josef

AU - Wolfram, Marie Therese

N1 - KAUST Repository Item: Exported on 2020-10-01 Acknowledgements: The first author was partially supported by the NSF. The last author was financially supported by the Austrian Academy of Sciences ( ÖAW) via the New Frontiers Group, NFG-001.

PY - 2016/10/4

Y1 - 2016/10/4

N2 - In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.

AB - In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.

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DO - 10.1137/16M1066099

M3 - Article

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JO - Multiscale Modeling & Simulation

JF - Multiscale Modeling & Simulation

IS - 4

ER -

Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

Abstract

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