Machine Learning architectures for price formation models with common noise
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Abstract (arXiv)
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by random supply, which presents additional challenges compared to the deterministic counterpart. Our approach uses a dual recurrent neural network architecture encoding noise dependence and a particle approximation of the mean-field model with a single loss function optimized by adversarial training. We provide a posteriori estimates for convergence and illustrate our method through numerical experiments.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 28 May 2023.
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