A mean field game price model with noise

DOI10.3934/MINE.2021028MaRDI QIDQ2167465zbMATH OpenOpenAlexFDO

Authors D. Gomes, Julian Gutiérrez, Ricardo Ribeiro

Publication date 25 August 2022

Published in Mathematics in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2003.01945

zbMATH Keywords

mean field gamescommon noiseprice formationequilibrium pricinglinear quadratic modelconstrained mean-field games

Mathematics Subject Classification ID

Applications of game theory (91A80) Microeconomic theory (price theory and economic markets) (91B24) Mean field games (aspects of game theory) (91A16)

Abstract: In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize their average cost by choosing their trading rates with a price that is characterized by a balance between supply and demand. The supply and the price processes are assumed to follow stochastic differential equations. Here, we show that, for linear dynamics and quadratic costs, the optimal trading rates are determined in feedback form. Hence, the price arises as the solution to a stochastic differential equation, whose coefficients depend on the solution of a system of ordinary differential equations.

Recommendations

• A Random-Supply Mean Field Game Price Model
• A mean-field game approach to price formation
• Mean field games with common noise
• A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
• Price of anarchy for mean field games
• Mean-field game with degenerate state-and distribution-dependent noises
• Mean field games with absorption and common noise with a model of bank run
• Mean field games with common noises and conditional distribution dependent FBSDEs
• On first order mean field game systems with a common noise

Cites work

• scientific article; zbMATH DE number 4207963 (Why is no real title available?)
• An extended mean field game for storage in smart grids
• Mean field games and applications
• Mean field games with common noise
• ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION
• On a Boltzmann-type price formation model
• On a price formation free boundary model by Lasry and Lions
• On the Statistical Properties of a Cyclic Diffusion Process Arising in the Modeling of Thermostat-Controlled Electric Power System Loads
• The master equation for large population equilibriums

Cited in

(12)

• A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
• scientific article; zbMATH DE number 7689517 (Why is no real title available?)
• A Random-Supply Mean Field Game Price Model
• A mean field game model of firm-level innovation
• A price model with finitely many agents
• Machine learning architectures for price formation models
• Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
• A McKean-Vlasov game of commodity production, consumption and trading
• A mean-field game approach to price formation
• A stochastic control model for the average price of manufacturer sales on commodity exchanges
• A mean-field game model of price formation with price-dependent agent behavior
• Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium

This page was built for publication: A mean field game price model with noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2167465)