Convergence of a finite difference scheme to weak solutions of the system of partial differential equations arising in mean field games

SIAM Journal on Numerical Analysis

Volumn 54, Issue 1, 2016, Pages 161-186

  Achdou, Yves ^a   Porretta, Alessio ^b  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

Convergence; Finite difference schemes; Mean field games; Weak solutions

Indexed keywords

DYNAMIC PROGRAMMING; FOKKER PLANCK EQUATION; PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

CONVERGENCE; COUPLED PARTIAL DIFFERENTIAL EQUATIONS; FINITE DIFFERENCE SCHEME; LIMITING BEHAVIOR; MEAN FIELD GAMES; STOCHASTIC DIFFERENTIAL GAME; SYSTEM OF PARTIAL DIFFERENTIAL EQUATIONS; WEAK SOLUTION;

FINITE DIFFERENCE METHOD;

EID: 84960841215     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/15M1015455     Document Type: Article

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