On the Discretization of Some Nonlinear Fokker--Planck--Kolmogorov Equations and Applications

DOI10.1137/17M1143022zbMath1394.35511arXiv1708.02042WikidataQ129517463 ScholiaQ129517463MaRDI QIDQ3174823

Francisco J. Silva, Elisabetta Carlini

Publication date: 18 July 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.02042

zbMATH Keywords

semi-Lagrangian schemesnumerical analysismean field gamesMarkov chain approximationnonlinear Fokker-Planck-Kolmogorov equations

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Traffic problems in operations research (90B20) Fokker-Planck equations (35Q84)

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