Mean Field Games: Numerical Methods

Mean field type models describing the limiting behavior, as the number of players tends to +∞, of stochastic differential game problems, have been recently introduced by J.-M. Lasry and P.-L. Lions [C. R. Math. Acad. Sci. Paris, 343 (2006), pp. 619–625; C. R. Math. Acad. Sci. Paris, 343 (2006), pp. 679–684; Jpn. J. Math., 2 (2007), pp. 229–260]. Numerical methods for the approximation of the stationary and evolutive versions of such models are proposed here. In particular, existence and uniqueness properties as well as bounds for the solutions of the discrete schemes are investigated. Numerical experiments are carried out.