On first order mean field game systems with a common noise
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Publication:2170377
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.
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Cited in
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- Brake orbits and heteroclinic connections for first order mean field games
- Mean-field game with degenerate state-and distribution-dependent noises
- Closed-loop convergence for mean field games with common noise
- Laplace principle for large population games with control interaction
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- Controlled diffusion mean field games with common noise and McKean-Vlasov second order backward SDEs
- Mean field games with common noises and conditional distribution dependent FBSDEs
- Asymptotic analysis of mean field games with small common noise
- Well-posedness of mean field games with common noise under a weak monotonicity condition
- Translation invariant mean field games with common noise
- Restoring uniqueness to mean-field games by randomizing the equilibria
- Transport equations and flows with one-sided Lipschitz velocity fields
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- Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise
- Linear-quadratic extended mean field games with common noises
- A mean field game price model with noise
- A rank-based mean field game in the strong formulation
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