Computation of Mean-Field Equilibria with Correlated Stochastic Processes
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URI (для ссылок/цитирований):
https://link.springer.com/chapter/10.1007/978-3-030-11539-5_54https://elib.sfu-kras.ru/handle/2311/129166
Дата:
2019-01Журнал:
Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)Квартиль журнала в Scopus:
Q2Библиографическое описание:
Shaydurov, V. Computation of Mean-Field Equilibria with Correlated Stochastic Processes [Текст] / V. Shaydurov, S. Zhang, V. Kornienko // Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics): Lecture Notes in Computer Science. — 2019. — Т. 11386. — С. 468-475Аннотация:
he numerical algorithm is presented for solving differential problem formulated as the Mean-Field Game (MFG) with the coupled system of two parabolic partial differential equations: the Fokker-Plank-Kolmogorov equation and the Hamilton-Jacobi-Bellman one. The case is considered with correlation of the considered stochastic processes. The description focuses on the discrete semi-Lagrangian approximation of these equations and on the application of the MFG theory directly at discrete level. The constructed algorithm is implemented to the problem of carbon dioxide pollution as an illustration