A Duality Approach to a Price Formation MFG Model
Keywords:
Mean field games, price formation, duality, optimal transport.Abstract
We study the connection between the Aubry-Mather theory and a mean-field game (MFG) price formation model. We introduce a framework for Mather measures that is suited for constrained time-dependent problems in R. Then, we propose a variational problem on a space of measures, from which we obtain a duality relation involving the MFG problem examined by D.Gomes and J. Saúde [A mean-field game approach to price formation, Dyn. Games Appl. 11/1 (2021) 29–53].
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