On a price formation free boundary model by Lasry & Lions
Analysis of PDEs
2011-05-06 v1
Abstract
We discuss global existence and asymptotic behaviour of a price formation free boundary model introduced by Lasry & Lions in 2007. Our results are based on a construction which transforms the problem into the heat equation with specially prepared initial datum. The key point is that the free boundary present in the original problem becomes the zero level set of this solution. Using the properties of the heat operator we can show global existence, regularity and asymptotic results of the free boundary.
Keywords
Cite
@article{arxiv.1105.1121,
title = {On a price formation free boundary model by Lasry & Lions},
author = {Luis A. Caffarelli and Peter A. Markowich and Jan-Frederik Pietschmann},
journal= {arXiv preprint arXiv:1105.1121},
year = {2011}
}