On fractional and nonlocal parabolic mean field games in the whole space

DOI10.1016/J.JDE.2021.08.026zbMATH Open1489.35283arXiv2003.12302OpenAlexW3198694916MaRDI QIDQ822752FDOQ822752

Olav Ersland, Espen R. Jakobsen

Publication date: 23 September 2021

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

Abstract: We study Mean Field Games (MFGs) driven by a large class of nonlocal, fractional and anomalous diffusions in the whole space. These non-Gaussian diffusions are pure jump L'evy processes with some $sigma$-stable like behaviour. Included are $sigma$-stable processes and fractional Laplace diffusion operators $(-Delta{)}^{fracsigma2}$, tempered nonsymmetric processes in Finance, spectrally one-sided processes, and sums of subelliptic operators of different orders. Our main results are existence and uniqueness of classical solutions of MFG systems with nondegenerate diffusion operators of order $sigmain(1,2)$. We consider parabolic equations in the whole space with both local and nonlocal couplings. Our proofs uses pure PDE-methods and build on ideas of Lions et al. The new ingredients are fractional heat kernel estimates, regularity results for fractional Bellman, Fokker-Planck and coupled Mean Field Game equations, and a priori bounds and compactness of (very) weak solutions of fractional Fokker-Planck equations in the whole space. Our techniques requires no moment assumptions and uses a weaker topology than Wasserstein.

Full work available at URL: https://arxiv.org/abs/2003.12302

zbMATH Keywords

existencemean field gamesuniquenessclassical solutionsfractional PDEnonlocal and local couplings

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) A priori estimates in context of PDEs (35B45) Smoothness and regularity of solutions to PDEs (35B65) Integro-partial differential equations (45K05) Fractional derivatives and integrals (26A33) 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) Heat kernel (35K08) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Fokker-Planck equations (35Q84) Fractional partial differential equations (35R11) Initial value problems for PDEs with pseudodifferential operators (35S10) Integro-differential operators (47G20) Classical solutions to PDEs (35A09) Mean field games (aspects of game theory) (91A16) PDEs in connection with mean field game theory (35Q89) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Cited In (6)

• Asymptotic radial solution of parabolic tempered fractional Laplacian problem
• Semi-linear parabolic equations on homogenous Lie groups arising from mean field games
• On fully nonlinear parabolic mean field games with nonlocal and local diffusions
• Fundamental solution for super-critical non-symmetric Lévy-type operators
• Uniform tail estimates and \(L^p( {\mathbb{R}}^N) \)-convergence for finite-difference approximations of nonlinear diffusion equations
• On numerical approximations of fractional and nonlocal mean field games

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