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A Fully-Discrete Semi-Lagrangian Scheme for a Price Formation MFG Model

Yuri Ashrafyan & Diogo A. Gomes

Dynamic Games and Applications2025https://doi.org/10.1007/s13235-025-00620-yarticle
AJG 1ABDC B
Weight
0.44

Abstract

Here, we examine a fully-discrete Semi-Lagrangian scheme for a mean-field game price formation model. We show the existence of the solution of the discretized problem and that it is monotone as a multivalued operator. Moreover, we show that the limit of the discretization converges to the weak solution of the continuous price formation mean-field game using monotonicity methods. Numerical simulations demonstrate that this scheme can provide results efficiently, comparing favorably with other methods in the examples we tested.

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https://doi.org/https://doi.org/10.1007/s13235-025-00620-y

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@article{yuri2025,
  title        = {{A Fully-Discrete Semi-Lagrangian Scheme for a Price Formation MFG Model}},
  author       = {Yuri Ashrafyan & Diogo A. Gomes},
  journal      = {Dynamic Games and Applications},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s13235-025-00620-y},
}

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A Fully-Discrete Semi-Lagrangian Scheme for a Price Formation MFG Model

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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