On numerical approximations of fractional and nonlocal mean field games
DOI10.1007/s10208-022-09572-wzbMath1527.35428arXiv2105.00073OpenAlexW3157898245WikidataQ114228256 ScholiaQ114228256MaRDI QIDQ6047304
Espen R. Jakobsen, Olav Ersland, Indranil Chowdhury
Publication date: 7 September 2023
Published in: Foundations of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.00073
convergencecompactnessHamilton-Jacobi-Bellman equationsFokker-Planck equationsanomalous diffusionsemi-Lagrangian schemenonlocal operatorsmean field gamesjump diffusionfractional PDEsduality methodsdegenerate PDEsnonlocal PDEs
Control/observation systems governed by partial differential equations (93C20) Feedback control (93B52) Integro-partial differential equations (45K05) Brownian motion (60J65) Fractional derivatives and integrals (26A33) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Integro-differential operators (47G20) Hamilton-Jacobi equations (35F21) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Fractional partial differential equations (35R11) Fokker-Planck equations (35Q84) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) PDEs with measure (35R06) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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