Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity
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Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) A priori estimates in context of PDEs (35B45) PDEs in connection with mean field game theory (35Q89) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Mean field games and control (49N80) Optimal transportation (49Q22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16) Optimal stochastic control (93E20)
Abstract: In this manuscript, we propose a structural condition on non-separable Hamiltonians, which we term displacement monotonicity condition, to study second order mean field games master equations. A rate of dissipation of a bilinear form is brought to bear a global (in time) well-posedness theory, based on a--priori uniform Lipschitz estimates on the solution in the measure variable. Displacement monotonicity being sometimes in dichotomy with the widely used Lasry-Lions monotonicity condition, the novelties of this work persist even when restricted to separable Hamiltonians.
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