A probabilistic numerical method for a class of mean field games
DOI10.1142/S0219493722500083zbMATH Open1491.91022OpenAlexW3216467842MaRDI QIDQ5083435FDOQ5083435
Authors: Ben Aziza Sahar, T. Salwa 
Publication date: 20 June 2022
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493722500083
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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)
Cites Work
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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
- Computation of mean-field equilibria with correlated stochastic processes
- A survey on numerical methods for mean field games
- 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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