A Semi-Lagrangian scheme for second order mean field game problems

par Elisabetta Carlini (Université de Rome, Italie)

vendredi 20 nov. 2015, 10:30 → 11:30 Europe/Paris

XLIM Salle X.203

We study a fully discrete Semi-Lagrangian approximation of a second order, possibly degenerate, Mean Field Game system. We prove that the resulting scheme is well posed and, if the state dimension is equal 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. Joint work with F. J. Silva