Mean field games with common noise and degenerate idiosyncratic noise
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Publication:6405596
arXiv2207.10209MaRDI QIDQ6405596FDOQ6405596
Authors: Pierre Cardaliaguet, Benjamin Seeger, Panagiotis E. Souganidis 
Publication date: 20 July 2022
Abstract: We study the forward-backward system of stochastic partial differential equations describing a mean field game for a large population of small players subject to both idiosyncratic and common noise. The unique feature of the problem is that the idiosyncratic noise coefficient may be degenerate, so that the system does not admit smooth solutions in general. We develop a new notion of weak solutions for backward stochastic Hamilton-Jacobi-Bellman equations, and use this to build probabilistically weak solutions of the mean field game system.
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