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• W1929124830 abstract "Mean field--type models describing the limiting behavior of stochastic differential games as the number of players tends to $+infty$ were recently introduced by Lasry and Lions. Under suitable assumptions, they lead to a system of two coupled partial differential equations, a forward Bellman equation and a backward Fokker--Planck equation. Finite difference schemes for the approximation of such systems have been proposed in previous works. Here, we prove the convergence of these schemes towards a weak solution of the system of partial differential equations." @default.
• W1929124830 created "2016-06-24" @default.
• W1929124830 creator A5010896193 @default.
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• W1929124830 date "2016-01-01" @default.
• W1929124830 modified "2023-09-25" @default.
• W1929124830 title "Convergence of a Finite Difference Scheme to Weak Solutions of the System of Partial Differential Equations Arising in Mean Field Games" @default.
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• W1929124830 doi "https://doi.org/10.1137/15m1015455" @default.
• W1929124830 hasPublicationYear "2016" @default.
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