Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games
From MaRDI portal
Publication:5745013
DOI10.1137/15M1015455zbMATH Open1382.65273arXiv1504.05705OpenAlexW1929124830MaRDI QIDQ5745013FDOQ5745013
Authors: Yves Achdou, Alessio Porretta 
Publication date: 11 February 2016
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Abstract: Mean field type models describing the limiting behavior of stochastic differential games as the number of players tends to +, have been recently introduced by J-M. Lasry and P-L. Lions. Under suitable assumptions, they lead to a system of two coupled partial differential equations, a forward Bellman equation and a backward Fokker-Planck equations. Finite difference schemes for the approximation of such systems have been proposed in previous works. Here, we prove the convergence of these schemes towards a weak solution of the system of partial differential equations.
Full work available at URL: https://arxiv.org/abs/1504.05705
Recommendations
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) 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)
Cites Work
- Mean field games
- Compact sets in the space \(L^ p(0,T;B)\)
- Weak solutions to Fokker-Planck equations and mean field games
- Mean field games models -- a brief survey
- On the planning problem for the mean field games system
- A semi-Lagrangian scheme for a degenerate second order mean field game system
- Finite difference methods for mean field games
- Mean field games: convergence of a finite difference method
- Mean field games and applications
- Mean field games equations with quadratic Hamiltonian: a specific approach
- Computation of mean field equilibria in economics
- On the planning problem for a class of mean field games
- Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
- Mean field games: numerical methods
- A fully discrete semi-Lagrangian scheme for a first order mean field game problem
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Nonlinear elliptic and parabolic equations involving measure data
- Stefan problems with nonlinear diffusion and convection
- Compactness of discrete approximate solutions to parabolic PDEs -- application to a turbulence model
- Finite volumes and nonlinear diffusion equations
- Discrete time, finite state space mean field games
- Finite volume methods
- Title not available (Why is that?)
- Time-dependent mean-field games in the subquadratic case
- Mean field games: numerical methods for the planning problem
- Convergence of a finite volume scheme for the convection-diffusion equation with \(\text{L}^{1}\) data
- Partial differential equation models in macroeconomics
- New numerical methods for mean field games with quadratic costs
Cited In (35)
- An introduction to mean field game theory
- Discrete approximation of stationary mean field games
- CEMRACS 2017: numerical probabilistic approach to MFG
- Forward-backward algorithm for functions with locally Lipschitz gradient: applications to mean field games
- Sharp semi-concavity in a non-autonomous control problem and \(L^p\) estimates in an optimal-exit MFG
- 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
- Preconditioning the augmented Lagrangian method for instationary mean field games with diffusion
- On the weak theory for mean field games systems
- Proximal methods for stationary mean field games with local couplings
- A Discrete Weak KAM Method for First-Order Stationary Mean Field Games
- Error estimates of a theta-scheme for second-order mean field games
- Mean field games models of segregation
- The finite difference approximation preserving conjugate properties of the mean-field game equations
- Particle approximation of one-dimensional mean-field games with local interactions
- A Lagrange–Galerkin Scheme for First Order Mean Field Game Systems
- Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions
- Optimal control of conditioned processes with feedback controls
- An entropy minimization approach to second-order variational mean-field games
- Minimal-time mean field games
- Mean field games: convergence of a finite difference method
- Hamilton-Jacobi-Bellman equations
- On numerical approximations of fractional and nonlocal mean field games
- From mean field games to the best reply strategy in a stochastic framework
- Value iteration algorithm for mean-field games
- Mean field games and applications: numerical aspects
- Fourier approximation methods for first-order nonlocal mean-field games
- Finite mean field games: fictitious play and convergence to a first order continuous mean field game
- Approximation of an optimal control problem for the time-fractional Fokker-Planck equation
- Mean Field Games for Modeling Crowd Motion
- Rate control under heavy traffic with strategic servers
- One-dimensional, non-local, first-order stationary mean-field games with congestion: a Fourier approach
- Mean field type control with congestion. II: An augmented Lagrangian method
- Career plans and wage structures: a mean field game approach
This page was built for publication: Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5745013)
