The master equation for mean field game systems with fractional and nonlocal diffusions

Publication date 30 May 2023

Existence problems for PDEs: global existence, local existence, non-existence (35A01) Fundamental solutions to PDEs (35A08) Heat kernel (35K08) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) PDEs in connection with mean field game theory (35Q89) Initial value problems for PDEs with pseudodifferential operators (35S10) Integro-partial differential equations (45K05) Banach spaces of continuous, differentiable or analytic functions (46E15) Derivatives of functions in infinite-dimensional spaces (46G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Abstract: We prove existence and uniqueness of classical solutions of the master equation for mean field game (MFG) systems with fractional and nonlocal diffusions. We cover a large class of L'evy diffusions of order greater than one, including purely nonlocal, local, and even mixed local-nonlocal operators. In the process we prove refined well-posedness results for the MFG systems, results that include the mixed local-nonlocal case. We also show various auxiliary results on viscous Hamilton-Jacobi equations, linear parabolic equations, and linear forward-backward systems that may be of independent interest. This includes a rigorous treatment of certain equations and systems with data and solutions in the duals of H"older spaces

C^{g} a m m a_{b}

on the whole of

m a t h b b R^{d}

. We do not assume existence of any moments for the initial distributions of players. In a future work we will use the results of this paper to prove the convergence of

N

-player games to mean field games as

N o i n f t y

.

This page was built for publication: The master equation for mean field game systems with fractional and nonlocal diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6438463)