Finite Difference Methods for Mean Field Games

TL;DR: In this paper, several aspects of a finite difference method used to approximate the previously mentioned system of PDEs are discussed, including: existence and uniqueness properties, a priori bounds on the solutions of the discrete schemes, convergence, and algorithms for solving the resulting nonlinear systems of equations.

Abstract: Mean field type models describing the limiting behavior of stochastic differential game problems as the number of players tends to + ∞, have been recently introduced by J-M. Lasry and P-L. Lions. They may lead to systems of evolutive partial differential equations coupling a forward Bellman equation and a backward Fokker–Planck equation. The forward-backward structure is an important feature of this system, which makes it necessary to design new strategies for mathematical analysis and numerical approximation. In this survey, several aspects of a finite difference method used to approximate the previously mentioned system of PDEs are discussed, including: existence and uniqueness properties, a priori bounds on the solutions of the discrete schemes, convergence, and algorithms for solving the resulting nonlinear systems of equations. Some numerical experiments are presented. Finally, the optimal planning problem is considered, i.e. the problem in which the positions of a very large number of identical rational agents, with a common value function, evolve from a given initial spatial density to a desired target density at the final horizon time.