On the discretization of some nonlinear Fokker-Planck-Kolmogorov equations and applications

DOI10.1137/17M1143022zbMATH Open1394.35511arXiv1708.02042WikidataQ129517463 ScholiaQ129517463MaRDI QIDQ3174823FDOQ3174823

Francisco J. Silva, Elisabetta Carlini

Publication date: 18 July 2018

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

Abstract: In this work, we consider the discretization of some nonlinear Fokker-Planck-Kolmogorov equations. The scheme we propose preserves the non-negativity of the solution, conserves the mass and, as the discretization parameters tend to zero, has limit measure-valued trajectories which are shown to solve the equation. The main assumptions to obtain a convergence result are that the coefficients are continuous and satisfy a suitable linear growth property with respect to the space variable. In particular, we obtain a new proof of existence of solutions for such equations. We apply our results to several examples, including Mean Field Games systems and variations of the Hughes model for pedestrian dynamics.

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

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zbMATH Keywords

mean field gamesnumerical analysissemi-Lagrangian schemesMarkov chain approximationnonlinear Fokker-Planck-Kolmogorov equations

Mathematics Subject Classification ID

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

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Cited In (23)

• Non-linear Fokker-Planck equation solved with generalized finite differences in 2D and 3D
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