Global Existence and Uniqueness of Solutions to a Model of Price Formation

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, nonstandard sources. We establish global existence and uniqueness.

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Bibliographic Details
Published in:SIAM journal on mathematical analysis 2009-01, Vol.41 (5), p.2107-2135
Main Authors: Chayes, Lincoln, del Mar González, María, Gualdani, Maria Pia, Kim, Inwon
Format: Article
Language:English
Subjects:
Applied mathematics
Diffusion
Evolution
Free boundaries
Mathematical analysis
Mathematical models
Scalars
Uniqueness
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Description
Summary: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, nonstandard sources. We establish global existence and uniqueness.
ISSN:0036-1410
1095-7154
DOI:10.1137/090753346