Approximation of an optimal control problem for the time-fractional Fokker-Planck equation

Abstract

In this paper, we study the numerical approximation of a system of PDEs with fractional time derivatives. This system is derived from an optimal control problem for a time-fractional Fokker-Planck equation with time dependent drift by convex duality argument. The system is composed by a time-fractional backward Hamilton-Jacobi-Bellman and a forward Fokker-Planck equation and can be used to describe the evolution of probability density of particles trapped in anomalous diffusion regimes. We approximate Caputo derivatives in the system by means of L1 schemes and the Hamiltonian by finite differences. The scheme for the Fokker-Planck equation is constructed such that the duality structure of the PDE system is preserved on the discrete level. We prove the well posedness of the scheme and the convergence to the solution of the continuous problem.

Numerical Methods for Mean Field Games and Mean Field Type Control

“…This approach can thus be seen as an alternative proof of existence of weak solutions of the MFG PDE system. Besides the setting presented here, similar finite difference schemes have been developed for mean field games with interaction through the law of the controls [5] or in a time-fractional setting [39].…”