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
(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)
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