Aimé Lachapelle
(Paris, France)

Mean Field Games: a numerical methodology with application to a stylised model of technology switch

Mean Field Games (MFG) have been recently introduced by Lasry and Lions, and describe approximations of N-player games when N tends to infinity. After recalling briefly the mathematical framework, we will insist on the optimal control point of view. We will then present the monotonic algorithm we use for solving finite-horizon MFG problems. We will close with some simulations for a stylised model of technology switch involving non-uniqueness. Joint work with J. Salomon and G. Turinici.