On Boltzmann-type and Free Boundary Models for Price Formation
Abstract
The speaker presents a theory for a price formation free boundary model formulated by Lasry and Lions. Also he introduces 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.
About the speaker
Prof. Peter Markowich received his DTech degree from the Vienna University of Technology in 1980. He had been faculty at the University of Texas at Austin, Technical University of Berlin, Purdue University and the Johannes Kepler University of Linz from 1982 to 2007. He is currently Professor of Applied Mathematics at the University of Cambridge and also Professor of Applied Analysis at the University of Vienna.
Prof. Markowich's current research areas include applied partial differential equations: analysis, numerics and modeling; and particularly focus on nonlinear Schrödinger equations, classical and quantum kinetic equations and reaction-diffusion/convection systems.
Prof. Markowich received numerous awards including the Humboldt Research Award, Royal Society Wolfson Research Merit Award, Wittgenstein Award of the Austrian Science Fund, etc. He is a Corresponding Member of the Austrian Academy of Sciences.
