On a price formation free boundary model by Lasry & Lions

Details On a price formation free boundary model by Lasry & Lions On a price formation free boundary model by Lasry & Lions

2011-05-05

arxiv.org/abs/1105.1121v1

Mathematics

Analysis of PDEs

Scientific paper

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.

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