A duality approach to a price formation MFG model

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 d...

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Bibliographic Details
Published in:arXiv.org 2021-09
Main Authors: Ashrafyan, Yuri, Bakaryan, Tigran, Gomes, Diogo, Gutierrez, Julian
Format: Article
Language:English
Online Access:Get full text
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Summary: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].
ISSN:2331-8422