Videos

A Free Boundary Model for Price Formation

Presenter
January 14, 2011
Keywords:
  • applied PDE
  • partial differential equations
  • boundary layers and boundary conditions
  • mathematical finance
  • existence and uniqueness results for PDEs
MSC:
  • 35R35
  • 35R37
  • 35-xx
  • 35Qxx
  • 35Q91
  • 35Q93
Abstract
We study a model, due to J.M. Lasry and P.L. Lions, describing the evolution of a scalar price which is realized as a free boundary in a one dimensional diffusion equation with dynamically evolving, non-standard sources. We establish global existence and uniqueness. This is joint work with L. Chayes, M. Gualdani and I. Kim.