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.
MEAN FIELD GAMES: CONVERGENCE OF A FINITE DIFFERENCE METHOD / Yves, Achdou; Camilli, Fabio; CAPUZZO DOLCETTA, Italo. - In: SIAM JOURNAL ON NUMERICAL ANALYSIS. - ISSN 0036-1429. - STAMPA. - 51:5(2013), pp. 2585-2612. [10.1137/120882421]
MEAN FIELD GAMES: CONVERGENCE OF A FINITE DIFFERENCE METHOD
CAMILLI, FABIO;CAPUZZO DOLCETTA, Italo
2013
Abstract
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
