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Price formation modeling with PDE: from Boltzmann to free boundaries| old_uid | 13256 |
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| title | Price formation modeling with PDE: from Boltzmann to free boundaries |
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| start_date | 2014/01/14 |
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| schedule | 15h |
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| online | no |
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| location_info | salle 11 |
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| summary | We present a derivation of the Lasry-Lions free boundary price formation model through a scaling limit of a Boltzmann type system for the buyer and vendor densities. This Boltzmann system is obtained by simple and very heuristic kinetic modeling, describing an economic market where large numbers of buyers and vendors trade one good continuously. |
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| responsibles | Berestycki, Nadal, Rosenstiehl |
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