Long time behavior and turnpike solutions in mildly non-monotone mean field games

DOI10.1051/COCV/2021077zbMATH Open1471.91028arXiv2101.09965OpenAlexW3180237281MaRDI QIDQ3383296FDOQ3383296

Marco Cirant, Alessio Porretta

Publication date: 23 September 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Abstract: We consider mean field game systems in time-horizon $(0,T)$, where the individual cost functional depends locally on the density distribution of the agents, and the Hamiltonian is locally uniformly convex. We show that, even if the coupling cost functions are mildly non-monotone, then the system is still well posed due to the effect of individual noise. The rate of anti-monotonicity (i.e. the aggregation rate of the cost functions) which can be afforded depends on the intensity of the diffusion and on global bounds of solutions. We give applications to either the case of globally Lipschitz Hamiltonians or the case of quadratic Hamiltonians and couplings having mild growth. Under similar conditions, we investigate the long time behavior of solutions and we give a complete description of the ergodic and long term properties of the system. In particular we prove: (i) the turnpike property of solutions in the finite (long) horizon $(0,T)$, (ii) the convergence of the system in $(0,T)$ towards the system in $(0,infty)$, (iii) the vanishing discount limit of the infinite horizon problem and the long time convergence towards the ergodic stationary solution. This way we extend previous results which were known only for the case of monotone and smoothing couplings; our approach is self-contained and does not need the use of the linearized system or of the master equation.

Full work available at URL: https://arxiv.org/abs/2101.09965

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zbMATH Keywords

long time behaviormean field gamesturnpike propertyergodic limit

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Mean field games (aspects of game theory) (91A16)

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Cited In (17)

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• On the existence of oscillating solutions in non-monotone mean-field games
• Regularity and Long Time Behavior of One-Dimensional First-Order Mean Field Games and the Planning Problem
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• Maximal \(L^q\)-regularity for parabolic Hamilton-Jacobi equations and applications to mean field games
• Stationary equilibria and their stability in a Kuramoto MFG with strong interaction

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