A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem

Published 19 Dec 2012 in math.NA | (1212.4757v2)

Abstract: In this work we propose a fully-discrete Semi-Lagrangian scheme for a {\it first order mean field game system}. We prove that the resulting discretization admits at least one solution and, in the scalar case, we prove a convergence result for the scheme. Numerical simulations and examples are also discussed.

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