Price Formation in Mean Field Games: A Monotonicity-Based Numerical Approach

Yeva Gevorgyan, KAUST

Abstract:

We apply a monotonicity-based numerical method to a time-dependent Mean Field Games (MFG) price formation model. This model is governed by a coupled system of Hamilton-Jacobi and transport equations and a market clearing condition. We design an iterative algorithm and test it in various problems with convex Hamiltonians. This method provides a framework for computing price dynamics in large-scale economic systems, with potential applications in market modeling.