A SEMI-LAGRANGIAN SCHEME FOR A DEGENERATE SECOND ORDER MEAN FIELD GAME SYSTEM

作者：Carlini Elisabetta^*; Silva Francisco J

来源：Discrete and Continuous Dynamical Systems, 2015, 35(9): 4269-4292.

DOI：10.3934/dcds.2015.35.4269

• Mean field games
• degenerate second order system
• semi-Lagrangian schemes
• convergence analysis
• numerical methods

In this paper we study a fully discrete Semi-Lagrangian approximation of a second order Mean Field Game system, which can be degenerate. We prove that the resulting scheme is well posed and, if the state dimension is equals to one, we prove a convergence result. Some numerical simulations are provided, evidencing the convergence of the approximation and also the difference between the numerical results for the degenerate and non-degenerate cases.

• 出版日期2015-9