New numerical methods for mean field games with quadratic costs

DOI10.3934/nhm.2012.7.315zbMath1270.35020OpenAlexW4298056604MaRDI QIDQ1943899

Olivier Guéant

Publication date: 21 March 2013

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/nhm.2012.7.315

zbMATH Keywords

finite difference methodsmean field gamesHopf-Cole transformationconstructive scheme

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic games, stochastic differential games (91A15) Theoretical approximation in context of PDEs (35A35) PDEs with randomness, stochastic partial differential equations (35R60) Semilinear parabolic equations with Laplacian, bi-Laplacian or poly-Laplacian (35K91)

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