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

Author

Listed:
  • Yuri Ashrafyan

    (King Abdullah University of Science and Technology (KAUST))

  • Diogo Gomes

    (King Abdullah University of Science and Technology (KAUST))

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.

Suggested Citation

  • Yuri Ashrafyan & Diogo Gomes, 2025. "A Fully-Discrete Semi-Lagrangian Scheme for a Price Formation MFG Model," Dynamic Games and Applications, Springer, vol. 15(2), pages 503-533, May.
    • Handle: RePEc:spr:dyngam:v:15:y:2025:i:2:d:10.1007_s13235-025-00620-y
    DOI: 10.1007/s13235-025-00620-y
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