Date: Wednesday, February 12, 2020
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: A price formation meanfield game model.
Abstract: Here, consider a constrained meanfield game where the price is determined by a supply vs. demand balance condition. We begin by examining problems with a deterministic supply. In this case, we establish the existence of a unique solution using a fixedpoint argument. In particular, we show that the price is welldefined, and it is a Lipschitz function of time. Then, we study linearquadratic models that can be solved explicitly. Finally, we discuss the case where the supply is a random process and in the case of linearquadratic models discuss how to solve the problem.
Files: 6418_gomes.pdf
Speaker: Diogo Gomes
Institution: KAUST
Event Organizer:
