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ABSTRACT:
SUBMITTER: Berestycki H
PROVIDER: S-EPMC4186254 | biostudies-literature | 2014 Nov
REPOSITORIES: biostudies-literature
Berestycki Henri H Monneau Regis R Scheinkman José A JA
Philosophical transactions. Series A, Mathematical, physical, and engineering sciences 20141101 2028
We consider an evolution non-local free boundary problem that arises in the modelling of speculative bubbles. The solution of the model is the speculative component in the price of an asset. In the framework of viscosity solutions, we show the existence and uniqueness of the solution. We also show that the solution is convex in space, and establish several monotonicity properties of the solution and of the free boundary with respect to parameters of the problem. To study the free boundary, we us ...[more]