This thesis studies mean-field games (MFGs) models of price formation. The thesis focuses explicitly on a MFGs price formation model proposed by Gomes and Saude. The thesis is divided into two parts. The first part examines the deterministic supply case, while the second part extends the model to incorporate a stochastic supply function. We explore different approaches, such as Aubry-Mather theory, to study the properties of the MFGs price formation model and alternative formulations using a convex variational problem with constraints. We propose machine-learning-based numerical methods to approximate the solution of the MFGs price formation model in the deterministic and stochastic setting.
| Date of Award | Sep 6 2023 |
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| Original language | English (US) |
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| Awarding Institution | - Computer, Electrical and Mathematical Sciences and Engineering
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| Supervisor | Diogo Gomes (Supervisor) |
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- Mean field games
- Price formation
- Lagrange multiplier
- Neural networks
- common noise
- equilibrium pricing