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A Semi-Lagrangian scheme for a degenerate second order Mean Field Game system

Abstract : In this paper we study a fully discrete Semi-Lagrangian approximation of a second order Mean Field Game system, which can be degenerate. We prove that the resulting scheme is well posed and, if the state dimension is equals to one, we prove a convergence result. Some numerical simulations are provided, evidencing the convergence of the approximation and also the difference between the numerical results for the degenerate and non-degenerate cases.
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Preprints, Working Papers, ...
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https://hal.inria.fr/hal-01122221
Contributor : Estelle Bouzat <>
Submitted on : Tuesday, March 3, 2015 - 2:28:37 PM
Last modification on : Thursday, January 11, 2018 - 6:26:29 AM
Long-term archiving on: : Sunday, April 16, 2017 - 12:20:00 PM

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  • HAL Id : hal-01122221, version 1

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E Carlini, Francisco José Silva. A Semi-Lagrangian scheme for a degenerate second order Mean Field Game system. 2014. ⟨hal-01122221⟩

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