Global existence and uniqueness of solutions to a model of price formation

math.AP

/ Authors

Lincoln Chayes, Maria del Mar Gonzalez, Maria Pia Gualdani, Inwon Kim

/ Abstract

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 1-D diffusion equation with dynamically evolving, non-standard sources. We establish global existence and uniqueness.

Global existence and uniqueness of solutions to a model of price formation

math.AP

/ Authors

Lincoln Chayes, Maria del Mar Gonzalez, Maria Pia Gualdani, Inwon Kim

/ Abstract

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 1-D diffusion equation with dynamically evolving, non-standard sources. We establish global existence and uniqueness.