Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians
DOI10.1007/s00245-022-09925-5zbMath1506.65125arXiv2110.02552OpenAlexW4316041475MaRDI QIDQ2682356
Jiahao Song, Mathieu Laurière, Qing Tang
Publication date: 31 January 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.02552
Differential games and control (49N70) Numerical computation of solutions to systems of equations (65H10) Differential games (aspects of game theory) (91A23) Games in extensive form (91A18) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Iterative numerical methods for linear systems (65F10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Hamilton-Jacobi equations (35F21) Integro-partial differential equations (35R09) Fokker-Planck equations (35Q84)
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