linear-quadratic problem

On mean-field game price models

Diogo Gomes, Associate Dean for Students, Computer, Electrical and Mathematical Sciences and Engineering

Nov 7, 12:00 - 13:00

B9 L2 H1 R2322

mean-field games price formation modeling linear-quadratic problem optimal transport with constraints supply and demand balance

Abstract In this talk, we discuss a mean-field game price formation model. This model describes a large number of rational agents that can trade a commodity with an exogenous supply. The price is determined by a balance condition between supply and demand. We discuss the well-posedness of the model, the uniqueness and regularity of the price function. Then, we examine two explicit models - the linear-quadratic problem and a model with finitely many agents. Time permitting, we will examine the connections between this problem and optimal transport with constraints. Brief Biography Diogo Gomes