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SUMMARY:Diogo A. Gomes (KAUST)
DTSTART:20200422T120000Z
DTEND:20200422T130000Z
DTSTAMP:20260423T041336Z
UID:RJWAPDE/2
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/RJWAPDE/2/">
 A mean-field price model</a>\nby Diogo A. Gomes (KAUST) as part of Rio de 
 Janeiro webinar on analysis and partial differential equations\n\n\nAbstra
 ct\nWe propose a mean-field game model for the price formation of a commod
 ity whose production is subjected to deterministic or random fluctuations.
  Agents seek to minimize their average cost by choosing their trading rate
 s with a price that is characterized by a balance between supply and deman
 d. In the deterministic case\, we establish the existence of a solution un
 der general conditions and give a full characterization. In the stochastic
  case\, we show that\, for linear dynamics and quadratic costs\, the optim
 al trading rates are determined in feedback form. Hence\, the price arises
  as the solution to a stochastic differential equation\, whose coefficient
 s depend on the solution of a system of ordinary differential equations.\n
LOCATION:https://researchseminars.org/talk/RJWAPDE/2/
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