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UID:20260624T064304EDT-4569ZFO4an@132.216.98.100
DTSTAMP:20260624T104304Z
DESCRIPTION:Virtual Informal Systems Seminar (VISS)\, Centre for Intelligen
 t Machines (CIM) and Groupe d'Etudes et de Recherche en Analyse des Decisi
 ons (GERAD)\n	\n	Zoom Link\n	Meeting ID: 910 7928 6959        \n	Passcode: VIS
 S\n	\n	Speaker:\n\nRicardo D. Ribeiro\,  Electrical and Mathematical Science
 s and Engineering\, King Abdullah University of Science and Technology (CE
 MSE-KAUST)\n	\n	Abstract: \n	\n	The problem of determining a just price arises
  in market economies\, including electricity generation from renewable sou
 rces in smart grids. In this talk\, we will review the deterministic MFG p
 rice formation model (Gomes-Saúde).\n	Then we generalize it to an MFG  mode
 l for the price formation of a commodity whose production is subject to ra
 ndom fluctuations. Here\, agents seek to minimize their average cost by ch
 oosing their trading rates with a price characterized by a balance between
  supply and demand. The supply and the price processes are assumed to foll
 ow stochastic differential equations. We show that the optimal trading rat
 es are determined in a feedback form for linear dynamics and quadratic cos
 ts. Hence\, the price appears as the solution to a stochastic differential
  equation\, whose coefficients depend on a system of ordinary differential
  equations.Then we consider a discredited version\; a finite number of pla
 yers trade an asset whose supply is a stochastic process. By solving a con
 strained minimization problem\, we prove that the Lagrange multiplier corr
 esponding to the market-clearing condition defines the solution of the pri
 ce formation problem. For the linear-quadratic structure\, we characterize
  the price process using optimal control techniques. We include two numeri
 cal approaches for the price computation.\n\n\n	Biography: \n\nRicardo does
  research in MFGs and PDEs at the Computer\, Electrical and Mathematical S
 ciences and Engineering at the King Abdullah University of Science and Tec
 hnology (CEMSE-KAUST) since 2019. Before that he was Professor of Mathemat
 ics at UNICAMP (1 year) and UTFPR-Londrina (4 years). He did his PhD under
  supervision of professors Manuel Valentim Garcia (advisor) and Diogo A. G
 omes (co-advisor).\n
DTSTART:20211112T150000Z
DTEND:20211112T160000Z
LOCATION:CA\, ZOOM
SUMMARY:MFG Price Models with Common Noise
URL:/cim/channels/event/mfg-price-models-common-noise-
 334744
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