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In this paper, we present an extension of Uzawa's algorithm and apply it tobuild approximating sequences of mean field games systems. We prove thatUzawa's iterations can be used in a more general situation than the one in itis usually used. We then present some numerical results of those iterations ondiscrete mean field games systems of optimal stopping, impulse control andcontinuous control.

A remark on Uzawa's algorithm and an application to mean field games systems