Convergence of a Finite Difference Scheme to Weak Solutions of the System of Partial Differential Equations Arising in Mean Field Games

DOI10.1137/15M1015455zbMath1382.65273arXiv1504.05705OpenAlexW1929124830MaRDI QIDQ5745013

Alessio Porretta, Yves Achdou

Publication date: 11 February 2016

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

Full work available at URL: https://arxiv.org/abs/1504.05705

zbMATH Keywords

convergenceweak solutionsfinite difference schemesmean field games

Mathematics Subject Classification ID

Differential games and control (49N70) 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) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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