New numerical methods for mean field games with quadratic costs
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 field games models describing the limit of a large class of stochastic differential games, as the number of players goes to +∞, have been introduced by J.-M. Lasry and P.-L. Lions in [11, 12, 13]. We use a change of variables to transform the mean field games (MFG) equations into a system of simpler coupled partial differential equations, in the case of a quadratic Hamiltonian. This system...
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ژورنال
عنوان ژورنال: Networks and Heterogeneous Media
سال: 2012
ISSN: 1556-1801
DOI: 10.3934/nhm.2012.7.315