Geodesic
A duality approach to a price formation MFG model
Minimax theory and its applications, Tome 8 (2023) no. 1
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We study the connection between the Aubry-Mather theory and a mean-field game (MFG) price formation model. We introduce a framework for Mather measures that is suited for constrained time-dependent problems in R. Then, we propose a variational problem on a space of measures, from which we obtain a duality relation involving the MFG problem examined by D.Gomes and J. Saúde [A mean-field game approach to price formation, Dyn. Games Appl. 11/1 (2021) 29–53].
Mots-clés : Mean field games, price formation, duality, optimal transport 
@article{MTA_2023_8_1_a0,
     author = {Yuri Ashrafyan and Tigran Bakaryan Diogo Gomes and Julian Gutierrez},
     title = {A duality approach to a price formation {MFG} model},
     journal = {Minimax theory and its applications},
     year = {2023},
     volume = {8},
     number = {1},
     zbl = {1515.49021},
     url = {http://geodesic.mathdoc.fr/item/MTA_2023_8_1_a0/}
}
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Yuri Ashrafyan; Tigran Bakaryan Diogo Gomes; Julian Gutierrez. A duality approach to a price formation MFG model. Minimax theory and its applications, Tome 8 (2023) no. 1. http://geodesic.mathdoc.fr/item/MTA_2023_8_1_a0/