A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem
Numerical Analysis
2013-07-11 v2
Abstract
In this work we propose a fully-discrete Semi-Lagrangian scheme for a {\it first order mean field game system}. We prove that the resulting discretization admits at least one solution and, in the scalar case, we prove a convergence result for the scheme. Numerical simulations and examples are also discussed.
Cite
@article{arxiv.1212.4757,
title = {A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem},
author = {E. Carlini and F. J. Silva},
journal= {arXiv preprint arXiv:1212.4757},
year = {2013}
}
Comments
28 pages,16 figures