Mean field games: convergence of a finite difference method

Yves Achdou, Fabio Camilli, Italo Capuzzo Dolcetta

Published 2012-07-12Version 1

Mean field type models describing the limiting behavior, as the number of players tends to $+\infty$, of stochastic differential game problems, have been recently introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works . Convergence theorems for these methods are proved under various assumptions