1. Mean Field Game Problem with Non-quadratic Control Functions.
- Author
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Shaydurov, V. V. and Kornienko, V. S.
- Subjects
- *
MEAN field theory , *HAMILTON-Jacobi-Bellman equation , *PARABOLIC differential equations , *THERMAL insulation - Abstract
The paper presents a computational scheme for solving economic problems formulated in terms of Mean Field Game theory. The equilibrium of the Mean Field leads to a coupled system of two parabolic partial differential equations: Fokker-Planck-Kolmogorov and Hamilton-Jacobi-Bellman ones. The article is devoted to the discrete approximation of these equations and the application of the Mean Field theory directly at the discrete level. Contrary to other studies, the monotonic algorithm constructed here is applicable to problem with more general control function. This algorithm is applied to the problem of heating insulation. [ABSTRACT FROM AUTHOR]
- Published
- 2019
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