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

Yuri Ashrafyan () and Diogo Gomes ()
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Yuri Ashrafyan: King Abdullah University of Science and Technology (KAUST)
Diogo Gomes: King Abdullah University of Science and Technology (KAUST)

Dynamic Games and Applications, 2025, vol. 15, issue 2, No 8, 503-533

Abstract: 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.

Keywords: Mean field games; Price formation; Semi-Lagrangian scheme; Monotone operator (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s13235-025-00620-y

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