Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

Peter A. Markowich, Josef Teichmann, Marie Therese Wolfram

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.
Original languageEnglish (US)
Pages (from-to)1211-1237
Number of pages27
JournalMultiscale Modeling & Simulation
Volume14
Issue number4
DOIs
StatePublished - Oct 4 2016

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