Second order local minimal-time mean field games

DOI10.1007/S00030-022-00767-2zbMATH Open1492.35352arXiv2005.11928OpenAlexW3028456990MaRDI QIDQ2144247FDOQ2144247

Authors: Romain Ducasse, Guilherme Mazanti, Filippo Santambrogio 

Publication date: 1 June 2022

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Abstract: The paper considers a forward-backward system of parabolic PDEs arising in a Mean Field Game (MFG) model where every agent controls the drift of a trajectory subject to Brownian diffusion, trying to escape a given bounded domain $Omega$ in minimal expected time. Agents are constrained by a bound on the drift depending on the density of other agents at their location. Existence for a finite time horizon $T$ is proven via a fixed point argument, but the natural setting for this problem is in infinite time horizon. Estimates are needed to treat the limit $Toinfty$, and the asymptotic behavior of the solution obtained in this way is also studied. This passes through classical parabolic arguments and specific computations for MFGs. Both the Fokker--Planck equation on the density of agents and the Hamilton--Jacobi--Bellman equation on the value function display Dirichlet boundary conditions as a consequence of the fact that agents stop as soon as they reach $partialOmega$. The initial datum for the density is given, and the long-time limit of the value function is characterized as the solution of a stationary problem.

Full work available at URL: https://arxiv.org/abs/2005.11928

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zbMATH Keywords

asymptotic behaviorexistence of solutionsmean field gamescongestion gamesparabolic PDEsMFG system

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Asymptotic behavior of solutions to PDEs (35B40) Smoothness and regularity of solutions to PDEs (35B65) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Weak solutions to PDEs (35D30) Second-order parabolic systems (35K40) Fokker-Planck equations (35Q84) PDEs in connection with control and optimization (35Q93) Existence theories for optimal control problems involving partial differential equations (49J20) Nonlinear systems in control theory (93C10) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89)

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Cited In (7)

• Mean Field Games of Controls with Dirichlet boundary conditions
• On game problems for second-order evolution equations
• Analysis and Numerical Approximation of Stationary Second-Order Mean Field Game Partial Differential Inclusions
• Multipopulation minimal-time mean field games
• Erratum to: ``Analysis and numerical approximation of stationary second-order mean field game partial differential inclusions
• Minimal-time mean field games
• Nonsmooth mean field games with state constraints

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