Master equation for the finite state space planning problem

DOI10.1007/S00205-021-01687-8MaRDI QIDQ2049595zbMATH OpenOpenAlexFDO

Authors Charles Bertucci, J.-M. Lasry, P.-L. Lions

Publication date 27 August 2021

Published in Archive for Rational Mechanics and Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.09330

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Mean field games and control (49N80) Games with infinitely many players (91A07) Mean field games (aspects of game theory) (91A16)

Abstract: We present results of existence, regularity and uniqueness of solutions of the master equation associated with the mean field planning problem in the finite state space case, in the presence of a common noise. The results hold under monotonicity assumptions, which are used crucially in the different proofs of the paper. We also make a link with the trajectories induced by the solution of the master equation and start a discussion on the case of boundary conditions.

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Cites work

• A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
• A variational approach to the mean field planning problem
• Finite state mean field games with Wright-Fisher common noise
• Mean field games
• Mean field games: numerical methods for the planning problem
• Monotone solutions for mean field games master equations: finite state space and optimal stopping
• On the planning problem for the mean field games system
• Some remarks on mean field games
• The planning problem in mean field games as regularized mass transport

Cited in

(12)

• Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity
• On first order mean field game systems with a common noise
• On the interpretation of the master equation
• Dimension reduction techniques in deterministic mean field games
• Monotone solutions of the master equation for mean field games with idiosyncratic noise
• Minimal solutions of master equations for extended mean field games
• Monotone solutions for mean field games master equations: continuous state space and common noise
• Linear-quadratic extended mean field games with common noises
• Stochastic optimal transport and Hamilton-Jacobi-Bellman equations on the set of probability measures
• Mean field games with common noise and degenerate idiosyncratic noise
• Deep learning for mean field optimal transport
• The master equation in a bounded domain with absorption

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