Mean Field Games: Numerical Methods
نویسندگان
چکیده
منابع مشابه
Mean Field Games: Numerical Methods
Mean field type models describing the limiting behavior of stochastic differential game problems, as the number of players tends to +∞, have recently been introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of stationary and nonstationary such models are proposed. In particular, existence and uniqueness are investigated, as well as bounds on the solutions. Numerical...
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Mean fields games describe the asymptotic behavior of differential games in which the number of players tends to +∞. Here we consider a numerical method for the optimal planning problem, i.e. the problem in which the positions of a very large number of identical rational agents, with common value function, evolve from a given initial spatial density to a desired target density at the final hori...
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We survey here some recent studies concerning what we call mean-field models by analogy with Statistical Mechanics and Physics. More precisely, we present three examples of our mean-field approach to modelling in Economics and Finance (or other related subjects. . . ). Roughly speaking, we are concerned with situations that involve a very large number of “rational players” with a limited inform...
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In this paper we study a mean field model for discrete time, finite number of states, dynamic games. These models arise in situations that involve a very large number of agents moving from state to state according to certain optimality criteria. The mean field approach for optimal control and differential games (continuous state and time) was introduced by Lasry and Lions [LL06a, LL06b, LL07]. ...
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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2010
ISSN: 0036-1429,1095-7170
DOI: 10.1137/090758477