On first order mean field game systems with a common noise
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Publication:2170377
DOI10.1214/21-AAP1734zbMATH Open1498.91040arXiv2009.12134OpenAlexW3088265565MaRDI QIDQ2170377FDOQ2170377
Authors: Pierre Cardaliaguet, Panagiotis E. Souganidis 
Publication date: 5 September 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution exists and is unique for monotone coupling functions. This the first general result for solutions of the Mean Field Games system with common and no idiosynctratic noise. We also use the solution to find approximate optimal strategies (Nash equilibria) for N-player differential games with common but no idiosyncratic noise. An important step in the analysis is the study of the well-posedness of a stochastic backward Hamilton-Jacobi equation.
Full work available at URL: https://arxiv.org/abs/2009.12134
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Cited In (14)
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- Brake orbits and heteroclinic connections for first order mean field games
- Well-posedness of mean field games with common noise under a weak monotonicity condition
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