On a Boltzmann-type price formation model

Beitrag in einer Fachzeitschrift


Details zur Publikation

Autorinnen und Autoren: Burger M, Caffarelli L, Markowich PA, Wolfram MT
Zeitschrift: Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences
Jahr der Veröffentlichung: 2013
Band: 469
ISSN: 1364-5021
Sprache: Englisch


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.


Einrichtungen weiterer Autorinnen und Autoren

King Abdullah University of Science and Technology (KAUST) / جامعة الملك عبد الله للعلوم و التقنية
Medizinische Universität Wien
University of Texas at Austin
Westfälische Wilhelms-Universität (WWU) Münster


Zitierweisen

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).

BibTeX: 

Zuletzt aktualisiert 2018-30-11 um 08:38