A Duality Approach to a Price Formation MFG Model

Yuri Ashrafyan, Tigran Bakaryan, Diogo Gomes, Julian Gutierrez*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


We study the connection between the Aubry-Mather theory and a mean-field game (MFG) priceformation 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.

Original languageEnglish (US)
Pages (from-to)1-36
Number of pages36
JournalMinimax Theory and its Applications
Issue number1
StatePublished - 2023


  • duality
  • Mean field games
  • optimal transport
  • price formation

ASJC Scopus subject areas

  • Analysis
  • Control and Optimization
  • Computational Mathematics


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