A probabilistic numerical method for a class of mean field games
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Publication:5083435
Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89)
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Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 108341 (Why is no real title available?)
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
- A fully discrete semi-Lagrangian scheme for a first order mean field game problem
- A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
- Discrete time, finite state space mean field games
- Finite mean field games: fictitious play and convergence to a first order continuous mean field game
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Mean field games
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Mean field games: convergence of a finite difference method
- Mean field games: numerical methods
- On Choosing and Bounding Probability Metrics
- On lipschitz continuity of the solution mapping to the skorokhod problem, with applications
- On the discretization of some nonlinear Fokker-Planck-Kolmogorov equations and applications
- Rate control under heavy traffic with strategic servers
Cited in
(21)- PMP-based numerical solution for mean field game problem of general nonlinear system
- CEMRACS 2017: numerical probabilistic approach to MFG
- Discrete potential mean field games: duality and numerical resolution
- On the implementation of a primal-dual algorithm for second order time-dependent mean field games with local couplings
- Two numerical approaches to stationary mean-field games
- A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
- An ergodic problem for Mean Field Games: qualitative properties and numerical simulations
- Convexification numerical method for the retrospective problem of mean field games
- A mean field games approach to cluster analysis
- Mean field games: numerical methods
- Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions
- An infinite-horizon mean field game of growth and capital accumulation: a Markov chain approximation numerical scheme and its challenges
- A policy iteration method for mean field games
- Numerical methods for mean field games and mean field type control
- Iterative strategies for solving linearized discrete mean field games systems
- Policy iteration method for time-dependent mean field games systems with non-separable Hamiltonians
- A Probabilistic Approach to Extended Finite State Mean Field Games
- A survey on numerical methods for mean field games
- Computation of mean-field equilibria with correlated stochastic processes
- Numerical methods for finite-state mean-field games satisfying a monotonicity condition
- Numerical solution of mean field games problems with turnpike effect
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