Machine Learning architectures for price formation models with common noise
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Artificial neural networks and deep learning (68T07) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Stochastic games, stochastic differential games (91A15)
Abstract: We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by random supply, which presents additional challenges compared to the deterministic counterpart. Our approach uses a dual recurrent neural network architecture encoding noise dependence and a particle approximation of the mean-field model with a single loss function optimized by adversarial training. We provide a posteriori estimates for convergence and illustrate our method through numerical experiments.
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