Semi-Lagrangian schemes for mean field game models

Elisabetta Carlini (1) , Francisco José Silva (2)

1 Sapienza University of Rome - Dipartimento di Matematica "Guido Castelnuovo" [Roma I]
2 XLIM-DMI - DMI

In this work we consider first and second order Mean Field Games (MFGs) systems, introduced in \cite{LasryLions06i,LasryLions06ii,LasryLions07}. For the first order case, we recall a fully-discrete Semi-Lagrangian (SL) scheme introduced in \cite{CS12} and its main properties. We propose the natural extension of this scheme for the second order case and we present some numerical simulations.

Domaines: Optimisation et contrôle [math.OC]

Elisabetta Carlini, Francisco José Silva. Semi-Lagrangian schemes for mean field game models. 2014. ⟨hal-00913737⟩