Monotone solutions of the master equation for mean field games with idiosyncratic noise
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Publication:5092889
Existence problems for PDEs: global existence, local existence, non-existence (35A01) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Weak solutions to PDEs (35D30) Viscosity solutions to PDEs (35D40) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) PDEs in connection with mean field game theory (35Q89)
Abstract: We introduce a notion of weak solution of the master equation without idiosyncratic noise in Mean Field Game theory and establish its existence, uniqueness up to a constant and consistency with classical solutions when it is smooth. We work in a monotone setting and rely on Lions' Hilbert space approach. For the first-order master equation without idiosyncratic noise, we also give an equivalent definition in the space of measures and establish the well-posedness.
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