Marie-Therese Wolfram (RICAM Linz): On parabolic free boundary price formation models under market size fluctuations
Mittwoch, 28.10.2015 15:00 im Raum SRZ 205
Abstract: In this talk we focus on a parabolic free boundary price formation model proposed by Lasry&Lions in 2007. We discuss its analytic properties and propose an extension 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. In addition we support and extend the theoretical statements with numerical simulations.