Existence of a solution to an equation arising from the theory of mean field games

DOI10.1016/j.jde.2015.08.001zbMath1359.35221OpenAlexW1637901183MaRDI QIDQ496756

Andrzej Świȩch, Wilfrid Gangbo

Publication date: 22 September 2015

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2015.08.001

zbMATH Keywords

mean field gamesmetric viscosity solutionsnon-local Hamilton-Jacobi equations, master equation

Mathematics Subject Classification ID

Differential games and control (49N70) Integro-partial differential equations (45K05) Games with infinitely many players (91A07) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

Related Items (45)

Well-posedness of mean field games master equations involving non-separable local Hamiltonians ⋮ A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria ⋮ Rate of convergence for particle approximation of PDEs in Wasserstein space ⋮ Existence of Solutions of the Master Equation in the Smooth Case ⋮ Time discretizations of Wasserstein–Hamiltonian flows ⋮ The Master Equation in a bounded domain with Neumann conditions ⋮ On the convergence of closed-loop Nash equilibria to the mean field game limit ⋮ Monotone Solutions of the Master Equation for Mean Field Games with Idiosyncratic Noise ⋮ The convergence problem in mean field games with local coupling ⋮ From the master equation to mean field game limit theory: large deviations and concentration of measure ⋮ Long time behavior of the master equation in mean field game theory ⋮ Linear-quadratic mean field games of controls with non-monotone data ⋮ Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise ⋮ Vanishing viscosity in mean-field optimal control ⋮ From the master equation to mean field game limit theory: a central limit theorem ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Control problem on space of random variables and master equation ⋮ Geodesics of minimal length in the set of probability measures on graphs ⋮ Viability analysis of the first-order mean field games ⋮ The Convergence Problem in Mean Field Games with Neumann Boundary Conditions ⋮ Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls ⋮ The Dyson and Coulomb games ⋮ Splitting methods and short time existence for the master equations in mean field games ⋮ On monotonicity conditions for mean field games ⋮ Hamilton-Jacobi equations for controlled gradient flows: the comparison principle ⋮ On a mean field optimal control problem ⋮ Selected topics in mean field games ⋮ Remarks on Nash equilibria in mean field game models with a major player ⋮ Analysis of the finite-state ergodic master equation ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation ⋮ An introduction to mean field game theory ⋮ Master equation for finite state mean field games with additive common noise ⋮ Dynamical aspects of the generalized Schrödinger problem via Otto calculus -- a heuristic point of view ⋮ Selection of equilibria in a linear quadratic mean-field game ⋮ Short time solution to the master equation of a first order mean field game ⋮ Restoring uniqueness to mean-field games by randomizing the equilibria ⋮ Semiconcavity and sensitivity analysis in mean-field optimal control and applications ⋮ Algorithm for Hamilton-Jacobi equations in density space via a generalized Hopf formula ⋮ Stationary fully nonlinear mean-field games ⋮ A mean-field optimal control formulation of deep learning ⋮ Intrinsic Lipschitz Regularity of Mean-Field Optimal Controls ⋮ Dynamic and stochastic propagation of the Brenier optimal mass transport ⋮ Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity ⋮ Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures ⋮ Master equation for Cournot mean field games of control with absorption

Cites Work

• Unnamed Item
• Unnamed Item
• Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
• Optimal transport and large number of particles
• Transport equation and Cauchy problem for BV vector fields
• Hamilton-Jacobi equations in the Wasserstein space
• Weakly coupled mean-field game systems
• Euler-Poisson systems as action-minimizing paths in the Wasserstein space
• A reference case for mean field games models
• Mean field games. I: The stationary case
• Mean field games. II: Finite horizon and optimal control
• Mean field games
• Large investor trading impacts on volatility
• A modest proposal for MFG with density constraints
• A-priori estimates for stationary mean-field games
• The master equation in mean field theory
• On a class of first order Hamilton-Jacobi equations in metric spaces
• On the existence of classical solutions for stationary extended mean field games
• An invariance principle in large population stochastic dynamic games
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• The derivation of ergodic mean field game equations for several populations of players
• Mean field games models -- a brief survey
• Mean Field Stochastic Games with Discrete States and Mixed Players
• Risk-Sensitive Mean-Field Games
• Mean Field Games and Applications
• Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
• Time-Dependent Mean-Field Games with Logarithmic Nonlinearities
• COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS
• Values of Non-Atomic Games
• The NCE (Mean Field) Principle With Locality Dependent Cost Interactions
• Time-Dependent Mean-Field Games in the Subquadratic Case
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
• Mean Field Games and Mean Field Type Control Theory
• Nash, Social and Centralized Solutions to Consensus Problems via Mean Field Control Theory
• The Master Equation for Large Population Equilibriums
• Weak KAM Theory on the Wasserstein Torus with Multidimensional Underlying Space
• Hamiltonian ODEs in the Wasserstein space of probability measures
• Markets with a Continuum of Traders

This page was built for publication: Existence of a solution to an equation arising from the theory of mean field games