On a Boltzmann-type price formation model

Burger M, Caffarelli L, Markowich PA, Wolfram MT (2013)


Publication Language: English

Publication Type: Journal article

Publication year: 2013

Journal

Book Volume: 469

Issue: 2157

DOI: 10.1098/rspa.2013.0126

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.

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APA:

Burger, M., Caffarelli, L., Markowich, P.A., & Wolfram, M.-T. (2013). On a Boltzmann-type price formation model. Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences, 469. https://dx.doi.org/10.1098/rspa.2013.0126

MLA:

Burger, Martin, et al. "On a Boltzmann-type price formation model." Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences 469 (2013).

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