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A semi-discrete in time approximation for a model first order-finite horizon mean field game problem

F. Camilli(camilli***at***dmmm.uniroma1.it)
F. J. Silva(fsilva***at***mat.uniroma1.it)

Abstract: In this article we consider a model first order mean field game problem, introduced by J.M. Lasry and P.L. Lions. Its solution $(v,m)$ can be obtained as the limit of the solutions of the second order mean field game problems, when the \textit{noise} parameter tends to zero. We propose a semi-discrete in time approximation of the system and, under natural assumptions, we prove that it is well posed and that it converges to $(v,m)$ when the discretization parameter tends to zero.

Keywords: First order mean field game, semi-discrete in time approximation

Category 1: Other Topics (Game Theory )


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Entry Submitted: 10/14/2011
Entry Accepted: 10/14/2011
Entry Last Modified: 10/14/2011

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