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dc.contributor.authorGomes, Diogo A.
dc.contributor.authorSaude, Joao
dc.date.accessioned2017-12-28T07:32:14Z
dc.date.available2017-12-28T07:32:14Z
dc.date.issued2017-04-29
dc.identifier.urihttp://hdl.handle.net/10754/626519
dc.description.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.
dc.publisherarXiv
dc.relation.urlhttp://arxiv.org/abs/1705.00174v1
dc.relation.urlhttp://arxiv.org/pdf/1705.00174v1
dc.rightsArchived with thanks to arXiv
dc.titleMonotone numerical methods for finite-state mean-field games
dc.typePreprint
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentCenter for Uncertainty Quantification in Computational Science and Engineering (SRI-UQ)
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.eprint.versionPre-print
dc.contributor.institutionCarnegie Mellon University, Electrical and Computer Engineering department. 5000 Forbes Avenue Pittsburgh, PA 15213-3890 USA.
dc.identifier.arxividarXiv:1705.00174
kaust.personGomes, Diogo A.
dc.versionv1
refterms.dateFOA2018-06-13T12:38:59Z


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