A Duality Approach to a Price Formation MFG Model

Yuri Ashrafyan; Tigran Bakaryan; Diogo Gomes; Julian Gutierrez

A Duality Approach to a Price Formation MFG Model

Yuri Ashrafyan, Tigran Bakaryan, Diogo Gomes, Julian Gutierrez^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

We study the connection between the Aubry-Mather theory and a mean-field game (MFG) priceformation model. We introduce a framework for Mather measures that is suited for constrained time-dependent problems in R. Then, we propose a variational problem on a space of measures, from which we obtain a duality relation involving the MFG problem examined by D. Gomes and J. Saúde A mean-field game approach to price formation, Dyn. Games Appl. 11/1 (2021) 29-53.

Original language	English (US)
Pages (from-to)	1-36
Number of pages	36
Journal	Minimax Theory and its Applications
Volume	8
Issue number	1
State	Published - 2023

Bibliographical note

Publisher Copyright:
© 2023, Heldermann Verlag. All rights reserved.

Keywords

duality
Mean field games
optimal transport
price formation

ASJC Scopus subject areas

Analysis
Control and Optimization
Computational Mathematics

Cite this

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AB - We study the connection between the Aubry-Mather theory and a mean-field game (MFG) priceformation model. We introduce a framework for Mather measures that is suited for constrained time-dependent problems in R. Then, we propose a variational problem on a space of measures, from which we obtain a duality relation involving the MFG problem examined by D. Gomes and J. Saúde A mean-field game approach to price formation, Dyn. Games Appl. 11/1 (2021) 29-53.

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KW - optimal transport

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A Duality Approach to a Price Formation MFG Model

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

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