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A semi-Lagrangian scheme for a degenerate second order mean field game system

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  • In this paper we study a fully discrete Semi-Lagrangian approximation of a second order Mean Field Game system, which can be degenerate. We prove that the resulting scheme is well posed and, if the state dimension is equals to one, we prove a convergence result. Some numerical simulations are provided, evidencing the convergence of the approximation and also the difference between the numerical results for the degenerate and non-degenerate cases.
    Mathematics Subject Classification: Primary: 65M12, 91A13; Secondary: 65M25, 91A23, 49J15, 35F21, 35Q84.


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