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arXiv · 2204.01398

A Variational Approach For Price Formation Models In One Dimension

Yuri Ashrafyan·Tigran Bakaryan·Diogo Gomes·Julian Gutierrez
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Abstract

In this paper, we study a class of first-order mean-field games (MFGs) that model price formation. Using Poincar{\'e} Lemma, we eliminate one of the equations and obtain a variational problem for a single function. This variational problem offers an alternative approach for the numerical solution of the original MFGs system. We show a correspondence between solutions of the MFGs system and the variational problem. Moreover, we address the existence of solutions for the variational problem using the direct method in the calculus of variations. We end the paper with numerical results for a linear-quadratic model.

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Yuri Ashrafyan, Tigran Bakaryan, Diogo Gomes, Julian Gutierrez. 2022-04-04. A Variational Approach For Price Formation Models In One Dimension. https://arxiv.org/abs/2204.01398

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