Mean field games: convergence of a finite difference method

DOI10.1137/120882421MaRDI QIDQ2870618zbMATH OpenOpenAlexFDO

Authors Yves Achdou, Fabio Camilli, Italo Capuzzo Dolcetta

Publication date 21 January 2014

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

Full work available at URL https://arxiv.org/abs/1207.2982

zbMATH Keywords

convergencefinite difference schemesmean field games

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 games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)

Abstract: Mean field type models describing the limiting behavior, as the number of players tends to $+infty$, of stochastic differential game problems, have been recently introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works . Convergence theorems for these methods are proved under various assumptions

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