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Finite Difference Methods for Mean Field Games Systems

  • Simone Cacace
  • Fabio CamilliEmail author
Chapter
Part of the Springer INdAM Series book series (SINDAMS, volume 28)

Abstract

We discuss convergence results for a class of finite difference schemes approximating Mean Field Games systems either on the torus or a network. We also propose a quasi-Newton method for the computation of discrete solutions, based on a least squares formulation of the problem. Several numerical experiments are carried out including the case with two or more competing populations.

Keywords

Mean field games Networks Numerical methods Finite difference Newton-like methods 

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Dip. di Matematica e FisicaUniversità degli Studi Roma TreRomeItaly
  2. 2.Dip. di Scienze di Base e Applicate per l’Ingegneria“Sapienza” Università di RomaRomeItaly

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