Second order mean field games with degenerate diffusion and local coupling
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Diffusion processes (60J60) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15)
Abstract: We analyze a (possibly degenerate) second order mean field games system of partial differential equations. The distinguishing features of the model considered are (1) that it is not uniformly parabolic, including the first order case as a possibility, and (2) the coupling is a local operator on the density. As a result we look for weak, not smooth, solutions. Our main result is the existence and uniqueness of suitably defined weak solutions, which are characterized as minimizers of two optimal control problems. We also show that such solutions are stable with respect to the data, so that in particular the degenerate case can be approximated by a uniformly parabolic (viscous) perturbation.
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