A FULLY DISCRETE SEMI-LAGRANGIAN SCHEME FOR A FIRST ORDER MEAN FIELD GAME PROBLEM

被引：69

作者：

Carlini, E. ^{[1
]}

Silva, F. J. ^{[2
]}

机构：

[1] Univ Roma La Sapienza, Dipartimento Matemat, I-00185 Rome, Italy

[2] Univ Limoges, XLIM, DMI, Fac Sci & Tech,CNRS UMR 7252, F-87060 Limoges, France

来源：

SIAM JOURNAL ON NUMERICAL ANALYSIS | 2014年 / 52卷 / 01期

关键词：

mean field games; first order system; semi-Lagrangian schemes; numerical methods; APPROXIMATION; CONVERGENCE;

D O I：

10.1137/120902987

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this work we propose a fully discrete semi-Lagrangian scheme for a first order mean field game system. We prove that the resulting discretization admits at least one solution and, in the scalar case, we prove a convergence result for the scheme. Numerical simulations and examples are also discussed.

引用

页码：45 / 67

页数：23

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