Finite difference methods for mean field games systems

DOI10.1007/978-3-030-01947-1_2MaRDI QIDQ2417902zbMATH OpenOpenAlexFDO

Authors Simone Cacace, Fabio Camilli

Publication date 29 May 2019

Full work available at URL https://doi.org/10.1007/978-3-030-01947-1_2

zbMATH Keywords

networksfinite differencemean field gamesnumerical methodsNewton-like methods

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Finite difference methods for boundary value problems involving PDEs (65N06) Stochastic games, stochastic differential games (91A15) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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Cited in

(13)

• Iterative strategies for solving linearized discrete mean field games systems
• A Lagrange–Galerkin Scheme for First Order Mean Field Game Systems
• Interpretation of a Monte Carlo approach of a finite difference scheme by a game method for modelling
• The finite difference approximation preserving conjugate properties of the mean-field game equations
• A remark on Uzawa's algorithm and an application to mean field games systems
• Mean field games: numerical methods for the planning problem
• A numerical method for mean field games on networks
• Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games
• A fictitious-play finite-difference method for linearly solvable mean field games
• Mean field games of controls: finite difference approximations
• New numerical methods for mean field games with quadratic costs
• Error estimates of a theta-scheme for second-order mean field games
• Fourier approximation methods for first-order nonlocal mean-field games

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