Mean Field Games: Numerical Methods

Yves Achdou (1) , Italo Capuzzo-Dolcetta (2)

1 LJLL - Laboratoire Jacques-Louis Lions
2 Sapienza University of Rome - Dipartimento di Matematica "Guido Castelnuovo" [Roma I]

Mean field type models describing the limiting behavior of stochastic differential game problems, as the number of players tends to +∞, have recently been introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of stationary and nonstationary such models are proposed. In particular, existence and uniqueness are investigated, as well as bounds on the solutions. Numerical experiments are carried out.

Domaines: Analyse numérique [cs.NA]

Yves Achdou, Italo Capuzzo-Dolcetta. Mean Field Games: Numerical Methods. 2009. ⟨hal-00392074⟩