Nonlinear elliptic systems and mean-field games (Q503117)

The paper deals with the quasilinear elliptic system of partial differential equations with \(N\) Hamilton-Jacobi-Bellman equations coupled with \(N\) divergence form equations \[ \begin{cases} {\mathcal L}^iv_i+H^i(x,Dv_i)+\lambda_i=V^i[m],\quad\text{in}\quad Q:={\mathbb{T}}^d,\\ {\mathcal L}^{i^*}m_i-\operatorname{div}(g^i(x,Dv_i)m_i)=0,\quad\text{in}\quad Q,\\ \int_Qm_i(x)\,dx=1,\quad m_i>0,\quad\int_Qv_i(x)\,dx=0,\quad i=1,\ldots,N, \end{cases}\leqno(1) \] where the unknowns are the constants \(\lambda=(\lambda_1,\ldots,\lambda_N)\), the functions \(v=(v_1,\ldots,v_N)\) and the densities of probability measures \(m=(m_1,\ldots,m_N)\), continuous on the \(d\)-dimensional torus \(Q=\mathbb{T}^d\). Here the operators \({\mathcal L}^i=-\mathrm{tr}(a^i(x)D^2)\), \(i=1,\ldots,N\) are second-order uniformly elliptic with \(\mathbb{Z}^d\)-periodic and Lipschitz coefficients \(a^i(\cdot)\), \({\mathcal L}^{i^*}\) are their formal adjoints, the Hamiltonians \(H^i:\mathbb{R}^d\times \mathbb{R}^d\to \mathbb{R}\) are \(\mathbb{Z}^d\)-periodic in \(x\), the operators \(V^i:(W^{1,p}(Q)\cap P(Q))^N\to C^{0,\alpha}(Q)\) with \(p>d\), and \(g^i:Q\times {\mathbb{R}}^d\to \mathbb{R}^d\) satisfy some additional conditions. The authors prove the existence of a solution \((\lambda_i,v_i,m_i)\), \(i=1,\ldots,N\) for system \((1)\), and then they present the connections of \((1)\) with \(N\)-person and mean-field games. The existence of Nash equilibria for such games in the cases of long-time-average costs and discounted infinite horizon costs are also proven.