Numerical solution of mean field games problems with turnpike effect

DOI10.1134/S1995080220040253zbMath1450.49015OpenAlexW3045892321MaRDI QIDQ2206654

N. V. Trusov

Publication date: 28 October 2020

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080220040253

zbMATH Keywords

optimal controlHamilton-Jacobi-Bellman equationnumerical solutionmean field gamesKolmogorov-Fokker-Planck equationmonotonic schemesturnpike effectRiccati ODEs

Mathematics Subject Classification ID

Control problems involving ordinary differential equations (34H05) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16) PDE constrained optimization (numerical aspects) (49M41)

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Identification of the household behavior modeling based on modified Ramsey model ⋮ On one inverse problem for the Kolmogorov-Fokker-Planck equation ⋮ The group behaviour modelling of workers in the labor market ⋮ The household behavior modeling based on mean field games approach ⋮ Numerical study of the stock market crises based on mean field games approach

Cites Work

• The turnpike property in finite-dimensional nonlinear optimal control
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Mean field games
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Mean Field Games: Numerical Methods for the Planning Problem
• A monotonic method for nonlinear optimal control problems with concave dependence on the state
• Mean Field Games and Applications
• COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS
• The NCE (Mean Field) Principle With Locality Dependent Cost Interactions
• Mean Field Games and Mean Field Type Control Theory
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