Related papers: On a Boltzmann type price formation model

We introduce a non-reflecting boundary condition for the simulation of thermal flows with the lattice Boltzmann Method (LBM). We base the derivation on the locally one-dimensional inviscid analysis, and define target macroscopic values at…

We consider a parabolic non-local free boundary problem that has been derived as a limit of a bulk-surface reaction-diffusion system which models cell polarization. In previous papers, we have established well-posedness of this problem and…

We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…

This paper proposes a new strategy to implement the free-energy based wetting boundary condition within the phase-field lattice Boltzmann method. The greatest advantage of the proposed method is that the implementation of contact line…

We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion. The AMM price is constrained by upper and lower bounds,…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…

Recently, Murthy et al. [2017] and Escande et al. [2020] adopted the Lattice Boltzmann Method (LBM) to model the linear elastodynamic behaviour of isotropic solids. The LBM is attractive as an elastodynamic solver because it can be…

In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…

Consider the steady Boltzmann equation with slab symmetry for a monatomic, hard sphere gas in a half space. At the boundary of the half space, it is assumed that the gas is in contact with its condensed phase. The present paper discusses…

We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…

This paper studies the parabolic free boundary problem arising from pricing American-style put options on an asset whose index follows a geometric Brownian motion process. The contribution is to propose a condition for that the early…

A linear Boltzmann equation is interpreted as the forward equation for the probability density of a Markov process (K(t), Y(t)), where K(t) is a autonomous reversible jump process, with waiting times between two jumps with finite…

The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…

The free energy model can extend the Lattice Boltzmann method to multiphase systems. However, there is a lack of models capable of simulating multicomponent multiphase fluids with partial miscibility. In addition, existing models cannot be…

We consider the problem of pricing perpetual American options written on dividend-paying assets whose price dynamics follow a multidimensional Black and Scholes model. For convex Lipschitz continuous reward functions, we give a…

We investigate the pricing of financial options under the 2-hypergeometric stochastic volatility model. This is an analytically tractable model that reproduces the volatility smile and skew effects observed in empirical market data. Using a…

This paper is concerned with the boundary-value problem on the Boltzmann equation in bounded domains with diffuse-reflection boundary where the boundary temperature is time-periodic. We establish the existence of time-periodic solutions…

We are interested in a reduced model for corrosion of iron, in which ferric cations and electrons evolve in a fixed oxide layer subject to a self-consistent electrostatic potential. Reactions at the boundaries are modeled thanks to…

A quadrature-based finite-difference lattice Boltzmann model is developed that is suitable for simulating relativistic flows of massless particles. We briefly review the relativistc Boltzmann equation and present our model. The quadrature…

The Bradley-Terry (BT) model is a common and successful practice in reward modeling for Large Language Model (LLM) alignment. However, it remains unclear why this model -- originally developed for multi-player stochastic game matching --…