Mean field games: Convergence of a finite difference method

SIAM Journal on Numerical Analysis

Volumn 51, Issue 5, 2013, Pages 2585-2612

  Achdou, Yves ^a   Camilli, Fabio ^b   Capuzzo Dolcetta, Italo ^b  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Convergence; Finite difference schemes; Mean field games

Indexed keywords

CONVERGENCE; CONVERGENCE THEOREM; FINITE DIFFERENCE SCHEME; LIMITING BEHAVIOR; MEAN FIELD; MEAN FIELD GAMES; STOCHASTIC DIFFERENTIAL GAME;

FINITE DIFFERENCE METHOD;

STOCHASTIC MODELS;

EID: 84890625353     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/120882421     Document Type: Article

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