New numerical methods for mean field games with quadratic costs

Olivier Guéant; Olivier Guéant

doi:10.3934/nhm.2012.7.315

Networks and Heterogeneous Media

2012, Volume 7, Issue 2: 315-336. doi: 10.3934/nhm.2012.7.315

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New numerical methods for mean field games with quadratic costs

Olivier Guéant ^{1
,}

1.
UFR de Math, Universit, 175, rue du Chevaleret, 75013 Paris

Received: 01 November 2011 Revised: 01 March 2012
Primary: 35K91, 65M12; Secondary: 91A15.

Mean field games have been introduced by J.-M. Lasry and P.-L. Lions in [13, 14, 15] as the limit case of stochastic differential games when the number of players goes to $+\infty$. In the case of quadratic costs, we present two changes of variables that allow to transform the mean field games (MFG) equations into two simpler systems of equations. The first change of variables, introduced in [11], leads to two heat equations with nonlinear source terms. The second change of variables, which is introduced for the first time in this paper, leads to two Hamilton-Jacobi-Bellman equations. Numerical methods based on these equations are presented and numerical experiments are carried out.
- Mean field games,
- constructive scheme,
- finite difference methods,
- numerical methods,
- Hopf-Cole transformation
Citation: Olivier Guéant. New numerical methods for mean field games with quadratic costs[J]. Networks and Heterogeneous Media, 2012, 7(2): 315-336. doi: 10.3934/nhm.2012.7.315

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Abstract

Mean field games have been introduced by J.-M. Lasry and P.-L. Lions in [13, 14, 15] as the limit case of stochastic differential games when the number of players goes to $+\infty$. In the case of quadratic costs, we present two changes of variables that allow to transform the mean field games (MFG) equations into two simpler systems of equations. The first change of variables, introduced in [11], leads to two heat equations with nonlinear source terms. The second change of variables, which is introduced for the first time in this paper, leads to two Hamilton-Jacobi-Bellman equations. Numerical methods based on these equations are presented and numerical experiments are carried out.

References

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