Seminar Event Detail


Financial/Actuarial Mathematics

Date:  Wednesday, February 12, 2020
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  A price formation mean-field game model.

Abstract:   Here, consider a constrained mean-field 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 fixed-point argument. In particular, we show that the price is well-defined, and it is a Lipschitz function of time. Then, we study linear-quadratic models that can be solved explicitly. Finally, we discuss the case where the supply is a random process and in the case of linear-quadratic models discuss how to solve the problem.

Files: 6418_gomes.pdf


Speaker:  Diogo Gomes
Institution:  KAUST

Event Organizer:     

 

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