Mean field games master equations: from discrete to continuous state space
DOI10.1137/23M1552528MaRDI QIDQ6540273FDOQ6540273
Authors: Charles Bertucci, Alekos Cecchin 
Publication date: 15 May 2024
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
convergence ratemean field gamesfinite difference schememaster equationcommon noisemonotone solutionsMarkov chain approximation
Applications of continuous-time Markov processes on discrete state spaces (60J28) Discrete approximations in optimal control (49M25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89)
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