Mean Field Games: Convergence of a Finite Difference Method.
Authors
Publication date
- ACHDOU Yves
- CAMILLI Fabio
- CAPUZZO DOLCETTA Italo
2013
Publication type
Journal Article
Summary
Mean field type models describing the limiting behavior, as the number of players tends to $+\infty$, of stochastic differential game problems, have been recently introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works . Convergence theorems for these methods are proved under various assumptions.
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Themes detected by scanR from retrieved publications. For more information, see https://scanr.enseignementsup-recherche.gouv.fr