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A Fully-discrete Semi-Lagrangian scheme for a price formation MFG model
Published 5 Mar 2024 in math.NA and cs.NA | (2403.02785v2)
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.
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