Work

A Fully-Discrete Semi-Lagrangian Scheme for a Price Formation MFG Model

Year: 2025

Type: article

Abstract: Here, we examine a fully-discrete Semi-Lagrangian scheme for a mean-field game price formation model. We show that the discretization is monotone as a multivalued operator and prove the uniqueness of the discretized solution.Moreover, we show that the limit of the discretization converges to the weak solution of the continuous price formation mean-field game using monotonicity methods. This scheme performs substantially better than standard methods by giving reliable results within a few iterations, as several numerical simulations and comparisons at the end of the paper illustrate. Date: March 15, 2024.

Source: Dynamic Games and Applications

DOI: 10.1007/s13235-025-00620-y

Authors: Yuri Ashrafyan, Diogo Gomes

Institution: King Abdullah University of Science and Technology

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,290

Funder: King Abdullah University of Science and Technology