A duality approach to a price formation MFG model
Analysis of PDEs
2021-09-14 v2
Abstract
We study the connection between the Aubry-Mather theory and a mean-field game (MFG) price-formation 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 in [36].
Keywords
Cite
@article{arxiv.2109.01791,
title = {A duality approach to a price formation MFG model},
author = {Yuri Ashrafyan and Tigran Bakaryan and Diogo Gomes and Julian Gutierrez},
journal= {arXiv preprint arXiv:2109.01791},
year = {2021}
}
Comments
27 pages