Central schemes for mean field games
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© 2015 International Press. Mean field type models have been recently introduced and analyzed by Lasry and Lions. They describe a limiting behavior of stochastic differential games as the number of players tends to infinity. Numerical methods for the approximation of such models have been developed by Achdou, Camilli, Capuzzo-Dolcetta, Gueant, and others. Efficient algorithms for such problems require special efforts and so far all methods introduced have been first order accurate. In this manuscript we design a second order accurate numerical method for time dependent Mean Field Games. The discretization is based on central schemes which are widely used in hyperbolic conservation laws.
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