The vanishing viscosity approximation to nonlocal, possibly non-separable mean field games converges at rate O(β) in L∞ on compact sets, matching the classical Hamilton-Jacobi rate.
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Beyond separability: convergence rate of vanishing viscosity approximations to mean field games via FBSDE stability
The vanishing viscosity approximation to nonlocal, possibly non-separable mean field games converges at rate O(β) in L∞ on compact sets, matching the classical Hamilton-Jacobi rate.