期刊
SIAM JOURNAL ON NUMERICAL ANALYSIS
卷 51, 期 5, 页码 2585-2612出版社
SIAM PUBLICATIONS
DOI: 10.1137/120882421
关键词
mean field games; finite difference schemes; convergence
资金
- ANR [ANR-12-MONU-0013, ANR-12-BS01-0008-01]
Mean field type models describing the limiting behavior of stochastic differential games as the number of players tends to +infinity have been recently introduced by Lasry and Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works. Here, convergence theorems for these methods are proved under various assumptions on the coupling operator.
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