非对称信息下均值场市场模型的弱平衡
摘要
我们研究了非对称信息如何影响包含众多相互作用代理人经济体中的均价形成。我们受动机于一个包含两个非对称信息代理人群组的有限玩家模型，研究其在一种群体观察到额外的随机因子而另一种群体无法观察该因子时的数值极限。 resulting equilibrium condition involves the conditional expectation of the adjoint process and, therefore, differs from standard mean-field formulations based on the state process. We prove existence of mean-field equilibria in probabilistic weak sense by combining discretization and weak convergence arguments with a lifting procedure tailored to preserve compatibility in the limit. Under additional assumptions, we obtain a conditional asymptotic justification of the mean-field price as an approximation of the finite-player market clearing relation. Finally, we illustrate how, in the case of a single informed agent, her strategy can be characterized in terms of the equilibrium.
引用
@article{arxiv.2504.09356,
title = {Weak equilibria of a mean-field market model under asymmetric information},
author = {Alekos Cecchin and Markus Fischer and Claudio Fontana and Giacomo Lanaro},
journal= {arXiv preprint arXiv:2504.09356},
year = {2026}
}