A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition
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Publication:5024047
DOI10.1137/20M1326295zbMath1484.91031arXiv2003.03035OpenAlexW3009913344MaRDI QIDQ5024047
Akihiko Takahashi, Masaaki Fujii
Publication date: 28 January 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.03035
Stochastic games, stochastic differential games (91A15) General equilibrium theory (91B50) Financial markets (91G15)
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