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A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem

Abstract

In this work we propose a fully-discrete Semi-Lagrangian scheme for a first order mean field game system. We prove that the resulting discretization admits at least one solution and, in the scalar case, we prove a convergence result for the scheme. Numerical simulations and examples are also discussed.

Dates and versions

hal-00800507 , version 1 (13-03-2013)

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Cite

Elisabetta Carlini, Francisco J. Silva. A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem. 2012. ⟨hal-00800507⟩
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