A fully-discrete Semi-Lagrangian scheme for a first order mean field game problem

In this work we propose a fully-discrete Semi-Lagrangian scheme for a {\it first order mean field game system}. We prove that the resulting discretization admits at least one solution and, in the scalar case, we prove a convergence result for the scheme. Numerical simulations and examples are also discussed.Comment: 28 pages,16 figure

Convergence results for an inhomogeneous system arising in various high frequency approximations

This paper is devoted to both theoretical and numerical study of a system involving an eikonal equation of Hamilton-Jacobi type and a linear conservation law as it comes out of the geometrical optics expansion of the wave equation or the semiclassical limit for the Schrödinger equation. We first state an existence and uniqueness result in the framework of viscosity and duality solutions. Then we study the behavior of some classical numerical schemes on this problem and we give sufficient conditions to ensure convergence. As an illustration, some practical computations are provided