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A Semi-Lagrangian scheme for a degenerate second order Mean Field Game system

Francisco José Silva
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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.
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Dates and versions

hal-01122221 , version 1 (03-03-2015)

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  • HAL Id : hal-01122221 , version 1

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E Carlini, Francisco José Silva. A Semi-Lagrangian scheme for a degenerate second order Mean Field Game system. 2014. ⟨hal-01122221⟩
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