带噪声的平均场博弈价格模型
A mean-field game price model with noise
摘要：
本文提出了一个生产受随机波动影响的商品价格形成的平均场对策模型。该模型推广了现有的确定性价格形成模型。代理商寻求通过选择具有供需平衡特征的价格的交易费率来最小化其平均成本。假设供给和价格过程服从随机微分方程。在这里，我们表明，对于线性动态和二次成本，最优交易率是以反馈形式确定的。因此，价格是作为随机微分方程的解而产生的，该方程的系数取决于常微分方程的解。
英文摘要：
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize their average cost by choosing their trading rates with a price that is characterized by a balance between supply and demand. The supply and the price processes are assumed to follow stochastic differential equations. Here, we show that, for linear dynamics and quadratic costs, the optimal trading rates are determined in feedback form. Hence, the price arises as the solution to a stochastic differential equation, whose coefficients depend on the solution of a system of ordinary differential equations.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
