The Library
Parabolic free boundary price formation models under market size fluctuations
Tools
Tools
Tools
Markowich, Peter, Teichmann, Josef and Wolfram, Marie-Therese (2016) Parabolic free boundary price formation models under market size fluctuations. Multiscale Modeling & Simulation, 14 (4). pp. 1211-1237. doi:10.1137/16M1066099 ISSN 1540-3459.
|
PDF
WRAP-parabolic-free-boundary-price-models-market-fluctuations-Wolfram-2016.pdf - Published Version - Requires a PDF viewer. Download (1652Kb) | Preview |
Official URL: http://dx.doi.org/10.1137/16M1066099
Abstract
In this paper we propose an extension of the Lasry--Lions price formation model which includes fluctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size fluctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic fluctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.
| Item Type: | Journal Article | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||||||
| Journal or Publication Title: | Multiscale Modeling & Simulation | ||||||||
| Publisher: | World Scientific Publishing Co. Pte. Ltd. | ||||||||
| ISSN: | 1540-3459 | ||||||||
| Official Date: | 2016 | ||||||||
| Dates: |
|
||||||||
| Volume: | 14 | ||||||||
| Number: | 4 | ||||||||
| Page Range: | pp. 1211-1237 | ||||||||
| DOI: | 10.1137/16M1066099 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Reuse Statement (publisher, data, author rights): | Electronic version of an article published as Markowich, Peter, Teichmann, Josef and Wolfram, Marie-Therese (2016) Parabolic free boundary price formation models under market size fluctuations. Multiscale Modeling & Simulation, 14 (4). pp. 1211-1237. doi:10.1137/16M1066099 © 2016 copyright World Scientific Publishing Company https://epubs.siam.org/loi/mmsubt | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| Date of first compliant deposit: | 19 November 2019 | ||||||||
| Date of first compliant Open Access: | 19 November 2019 | ||||||||
| Open Access Version: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
