2 papers
math.AP2021
On Numerical approximations of fractional and nonlocal Mean Field Games
Indranil Chowdhury, Olav Ersland, Espen R. Jakobsen
We construct numerical approximations for Mean Field Games with fractional or nonlocal diffusions. The schemes are based on semi-Lagrangian approximations of the underlying control…
math.AP2020
On fractional and nonlocal parabolic Mean Field Games in the whole space
Olav Ersland, Espen Robstad Jakobsen
We study Mean Field Games (MFGs) driven by a large class of nonlocal, fractional and anomalous diffusions in the whole space. These non-Gaussian diffusions are pure jump Lévy proce…