Show simple item record

dc.contributor.authorGomes, Diogo A.
dc.contributor.authorGutierrez, Julian
dc.contributor.authorRibeiro, Ricardo de Lima
dc.date.accessioned2020-03-24T12:32:55Z
dc.date.available2020-03-24T12:32:55Z
dc.date.issued2020-03-04
dc.identifier.urihttp://hdl.handle.net/10754/662283
dc.description.abstractIn this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize their average cost by choosing their trading rates with a price that is characterized by a balance between supply and demand. The supply and the price processes are assumed to follow stochastic differential equations. Here, we show that, for linear dynamics and quadratic costs, the optimal trading rates are determined in feedback form. Hence, the price arises as the solution to a stochastic differential equation, whose coefficients depend on the solution of a system of ordinary differential equations.
dc.publisherarXiv
dc.relation.urlhttps://arxiv.org/pdf/2003.01945
dc.rightsArchived with thanks to arXiv
dc.titleA mean-field game price model with noise
dc.typePreprint
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.eprint.versionPre-print
dc.contributor.institutionUniversidade Tecnol´ogica Federal do Paran´a (UTFPR), Departamento Acadˆemico de Matem´atica, Avenida dos Pioneiros 3131, 86036-370 Londrina, PR, Brazil.
dc.identifier.arxivid2003.01945
kaust.personGomes, Diogo A.
kaust.personGutierrez, Julian
kaust.personRibeiro, Ricardo de Lima
dc.date.accepted2019
refterms.dateFOA2020-03-24T12:35:38Z


Files in this item

Thumbnail
Name:
Preprintfile1.pdf
Size:
382.9Kb
Format:
PDF
Description:
Pre-print

This item appears in the following Collection(s)

Show simple item record