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Mean field games: convergence of a finite difference method

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abstract

Mean field type models describing the limiting behavior, as the number of players tends to $+\infty$, of stochastic differential game problems, have been recently introduced by J-M. Lasry and P-L. Lions. Numerical methods for the approximation of the stationary and evolutive versions of such models have been proposed by the authors in previous works . Convergence theorems for these methods are proved under various assumptions

fields

cs.LG 1

years

2025 1

verdicts

UNVERDICTED 1

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