Mean field type models describing the limiting behavior of stochastic differential games as the number of players tends to +infinity have been recently introduced by Lasry and Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works. Here, convergence theorems for these methods are proved under various assumptions on the coupling operator.
MEAN FIELD GAMES: CONVERGENCE OF A FINITE DIFFERENCE METHOD
CAMILLI, FABIO;
2013-01-01
Abstract
Mean field type models describing the limiting behavior of stochastic differential games as the number of players tends to +infinity have been recently introduced by Lasry and Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works. Here, convergence theorems for these methods are proved under various assumptions on the coupling operator.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
