Mean Field Games: Convergence of a Finite Difference Method
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Publication:2870618
DOI10.1137/120882421zbMath1286.91022arXiv1207.2982OpenAlexW1981066502MaRDI QIDQ2870618
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
Differential games (aspects of game theory) (91A23) 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)
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