Applied Mathematics and Optimization, Vol.83, No.1, 51-82, 2021
Numerical Methods for Finite-State Mean-Field Games Satisfying a Monotonicity Condition
Here, we develop numerical methods for finite-state mean-field games (MFGs) that satisfy a monotonicity condition. MFGs are determined by a system of differential equations with initial and terminal boundary conditions. These non-standard conditions make the numerical approximation of MFGs difficult. Using the monotonicity condition, we build a flow that is a contraction and whose fixed points solve both for stationary and time-dependent MFGs. We illustrate our methods with a MFG that models the paradigm-shift problem.