Artificial viscosity joint spacetime multigrid method for Hamilton-Jacobi-Bellman and Kolmogorov-Fokker-Planck system arising from mean field games
DOI10.1007/s10915-021-01520-0zbMath1477.65154OpenAlexW3165491017MaRDI QIDQ2037330
Yangang Chen, Justin W. L. Wan
Publication date: 30 June 2021
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-021-01520-0
Hamilton-Jacobi-Bellman equationartificial viscositymultigrid methodsmean field gamesKolmogorov-Fokker-Planck equationfull approximation schemespacetime methods
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Finite difference methods for boundary value problems involving PDEs (65N06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Hamilton-Jacobi equations (35F21) Fokker-Planck equations (35Q84) Mean field games (aspects of game theory) (91A16)
Uses Software
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