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FRB

Seminar

Plenary Lecture 6: On Boltzmann-type and Free Boundary Models for Price Formation

Markowich, P (KAUST)
Wednesday 25 June 2014, 10:20-11:05

Seminar Room 1, Newton Institute

Abstract

We present a theory for a price formation free boundary model formulated by Lasry and Lions. Also we introduce a mesoscopic Boltzmann-type model for price formation in economic markets of single goods, which gives the Lasry-Lions model in the limit of large trading frequency.

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