Numerical analysis of first-order mean field games under displacement monotonicity

Abstract: We introduce a particle method for the numerical approximation of time-dependent first-order Mean Field Games (MFGs) systems with non-separable, displacement monotone Hamiltonians and terminal costs, for arbitrary time-horizons and (possibly) singular initial player distributions in $\mathcal{P}_2(\mathbb{R}^d)$. The numerical scheme is based on an implicit Euler discretization in time and sampling in space of the characteristic Hamiltonian/Pontryagin system associated with the continuous MFGs system. We prove convergence of the approximations of the player distribution in the $L^{\infty}(\mathcal{W}_2)$-metric and the approximations for the gradient of the value function along optimal trajectories in the $L^{\infty}{(L^2)}$-norm as the number of spatial samples tends to infinity jointly with the temporal time-step vanishing. The error bound that we establish for this convergence further implies rates of convergence of the scheme for a range of spatial sampling techniques. Provided that the Lagrangian and terminal costs are additionally locally Lipschitz continuous, we also establish an asymptotic error bound in the $L^{\infty}(L^1)$-norm for the approximations of the value function along optimal trajectories. This is the first work in the literature on rigorous numerical approximation and analysis of first-order MFG systems that handles non-separable Hamiltonians and potentially singular initial agent distributions for arbitrary long time horizons. We illustrate the performance of the scheme in numerical experiments for a range of initial agent distributions, time horizons and space dimensions.