Artificial Viscosity Joint Spacetime Multigrid Method for Hamilton–Jacobi–Bellman and Kolmogorov–Fokker–Planck System Arising from Mean Field Games

In this paper, we study numerical solutions for the Hamilton-Jacobi-Bellman (HJB) and Kolmogorov–Fokker–Planck (KFP) equations arising from mean field games. In order to solve the nonlinear discretized systems efficiently, we propose a multigrid method. Our proposed multigrid method is developed on...

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Bibliographic Details
Published in:	Journal of scientific computing Vol. 88; no. 1; p. 10
Main Authors:	Chen, Yangang, Wan, Justin W. L.
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.07.2021 Springer Nature B.V
Subjects:	Algorithms Anisotropy Approximation Coarsening Computational Mathematics and Numerical Analysis Discretization Fourier analysis Games Mathematical and Computational Engineering Mathematical and Computational Physics Mathematics Mathematics and Statistics Methods Multigrid methods Nonlinear systems Partial differential equations Smartphones Spacetime Theoretical Viscosity Hamilton–Jacobi–Bellman equation Kolmogorov–Fokker–Planck equation Multigrid methods Full approximation scheme Artificial viscosity Mean field games Spacetime methods
ISSN:	0885-7474, 1573-7691
Online Access:	Get full text
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