Finite Difference Methods for Mean Field Games

DOI10.1007/978-3-642-36433-4_1zbMath1271.65120OpenAlexW37026699MaRDI QIDQ2840811

Publication date: 23 July 2013

Published in: Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-36433-4_1

zbMATH Keywords

algorithm convergence finite difference method numerical experiments backward Fokker-Planck equation forward Bellman equation stochastic differential game problems

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Hamilton-Jacobi equations (35F21)

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