AuthorsGomes, Diogo A.
KAUST DepartmentApplied Mathematics and Computational Science Program
Center for Uncertainty Quantification in Computational Science and Engineering (SRI-UQ)
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
Permanent link to this recordhttp://hdl.handle.net/10754/626519
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AbstractHere, we develop numerical methods for finite-state mean-field games (MFGs) that satisfy a monotonicity condition. MFGs are determined by a system of differential equations with initial and terminal boundary conditions. These non-standard conditions are the main difficulty in the numerical approximation of solutions. Using the monotonicity condition, we build a flow that is a contraction and whose fixed points solve the MFG, both for stationary and time-dependent problems. We illustrate our methods in a MFG modeling the paradigm-shift problem.