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
Proceedings of the Royal Society A-Mathematical Physical and Engineering Sciences
Royal Society, The
Book Volume: 469
Issue: 2157
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.
Authors with CRIS profile
Involved external institutions
University of Texas at Austin
United States (USA) (US)
Medizinische Universität Wien
Austria (AT)
Westfälische Wilhelms-Universität (WWU) Münster
Germany (DE)
King Abdullah University of Science and Technology (KAUST) / جامعة الملك عبد الله للعلوم و التقنية
Saudi Arabia (SA)
United States (USA) (US)
Medizinische Universität Wien
Austria (AT)
Westfälische Wilhelms-Universität (WWU) Münster
Germany (DE)
King Abdullah University of Science and Technology (KAUST) / جامعة الملك عبد الله للعلوم و التقنية
Saudi Arabia (SA)
How to cite
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://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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