Short time solution to the master equation of a first order mean field game
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Publication:2300432
characteristic equationsfixed-point methodHamilton-Jacobi equationsmaster equationmean field gamesWasserstein gradient
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with measure (35R06) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Integro-partial differential equations (45K05) Hamilton-Jacobi theories (49L99) Differential games and control (49N70) Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23)
Abstract: The goal of this paper is to show existence of short-time classical solutions to the so called Master Equation of emph{first order} Mean Field Games, which can be thought of as the limit of the corresponding master equation of a stochastic mean field game as the individual noises approach zero. Despite being the equation of an idealistic model, its study is justified as a way of understanding mean field games in which the individual players'~randomness is negligible; in this sense it can be compared to the study of ideal fluids cite{gangboberkeleynotes}. We restrict ourselves to potential mean field games but do not impose any monotonicity conditions on the running and initial costs, and we do not require convexity of the Hamiltonian, thus extending the result of cite{mfgmain} to a considerably broader class of Hamiltonians.
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Cited in
(25)- Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity
- On monotone solutions of mean field games master equations
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