Rates of convergence of finite element approximations of second-order mean field games with nondifferentiable Hamiltonians

Abstract

We prove a rate of convergence for finite element approximations of stationary, second-order mean field games with nondifferentiable Hamiltonians posed in general bounded polytopal Lipschitz domains with strongly monotone running costs. In particular, we obtain a rate of convergence in the $H^1$-norm for the value function approximations and in the $L^2$-norm for the approximations of the density. We also establish a rate of convergence for the error between the exact solution of the MFG system with a nondifferentiable Hamiltonian and the finite element discretizations of the corresponding MFG system with a regularized Hamiltonian.