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

Abstract : In this paper we study a fully discrete Semi-Lagrangian approximation of a second order Mean Field Game system, which can be degenerate. We prove that the resulting scheme is well posed and, if the state dimension is equals to one, we prove a convergence result. Some numerical simulations are provided, evidencing the convergence of the approximation and also the difference between the numerical results for the degenerate and non-degenerate cases.

Keywords : 35Q84 35F21 49J15 91A23 Secondary: 65M25 91A13 Numerical meth-ods MSC 2000: Primary: 65M12 Semi-Lagrangian schemes Degenerate second order system Mean field games





Autor: E Carlini - Francisco José Silva -

Fuente: https://hal.archives-ouvertes.fr/



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