A Fully-discrete Semi-Lagrangian scheme for a price formation MFG model
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916589473890304 |
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| author | Ashrafyan, Yuri Gomes, Diogo |
| author_facet | Ashrafyan, Yuri Gomes, Diogo |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_02785 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Fully-discrete Semi-Lagrangian scheme for a price formation MFG model Ashrafyan, Yuri Gomes, Diogo Numerical Analysis 35Q89, 65M22 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. |
| title | A Fully-discrete Semi-Lagrangian scheme for a price formation MFG model |
| topic | Numerical Analysis 35Q89, 65M22 |
| url | https://arxiv.org/abs/2403.02785 |