An ergodic problem for Mean Field Games: qualitative properties and numerical simulations

zbMath1419.91101arXiv1801.08828MaRDI QIDQ4644816

Annalisa Cesaroni, Simone Cacace, Claudio Marchi, Fabio Camilli

Publication date: 9 January 2019

Full work available at URL: https://arxiv.org/abs/1801.08828

zbMATH Keywords

numerical testsfinite difference schemessmall noise limitperiodic homogenizationmean field gamesergodic problemscontinuous dependence of solution on parameters

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Games with infinitely many players (91A07) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stochastic games, stochastic differential games (91A15) Ergodic theory (37A99) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Discrete approximation of stationary mean field games, Two-scale homogenization of a stationary mean-field game, Mean field games and applications: numerical aspects, Convergence Analysis of Machine Learning Algorithms for the Numerical Solution of Mean Field Control and Games I: The Ergodic Case, Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case

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