A Random-Supply Mean Field Game Price Model

DOI10.1137/21M1443923MaRDI QIDQ5886363

Ricardo Ribeiro, Julian Gutierrez, Diogo Aguiar Gomes

Publication date: 31 March 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.01478

zbMATH Keywords

price formationmean field gamescommon noiseLagrange mulitplier

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Second-order parabolic systems (35K40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Mean field games (aspects of game theory) (91A16) PDE constrained optimization (numerical aspects) (49M41)

Related Items (2)

Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations ⋮ Machine learning architectures for price formation models

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