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hal-00724772, version 1

Mean field games: convergence of a finite difference method

Yves Achdou 1, Fabio Camilli 2, Italo Capuzzo Dolcetta

(12/07/2012)

Abstract: 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

  • 1:  Laboratoire Jacques-Louis Lions (LJLL)
  • CNRS : UMR7598 – Université Pierre et Marie Curie [UPMC] - Paris VI
  • 2:  Dipartimento di Metodi e Modelli Matematici per le Scienze Applicate (MeMoMat)
  • Universita di Roma "La Sapienza"
  • Domain : Mathematics/Numerical Analysis
    Mathematics/Analysis of PDEs
 
  • hal-00724772, version 1
  • http://hal.inria.fr/hal-00724772
  • oai:hal.inria.fr:hal-00724772
  • From: Estelle Bouzat <>
  • Submitted on: Wednesday, 22 August 2012 15:40:17
  • Updated on: Wednesday, 22 August 2012 15:40:17