Splitting methods and short time existence for the master equations in mean field games (Q6172669)
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scientific article; zbMATH DE number 7714604
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English | Splitting methods and short time existence for the master equations in mean field games |
scientific article; zbMATH DE number 7714604 |
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Splitting methods and short time existence for the master equations in mean field games (English)
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20 July 2023
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Summary: We develop a splitting method to prove the well-posedness, in short time, of solutions for two master equations in mean field game (MFG) theory: the second order master equation, describing MFGs with a common noise, and the system of master equations associated with MFGs with a major player. Both problems are infinite-dimensional equations stated in the space of probability measures. Our new approach simplifies and generalizes previous existence results for second order master equations and provides the first existence result for systems associated with MFG problems with a major player.
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master equation
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mean field games
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MFG with major player contents
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