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

DOI10.1016/J.JDE.2021.08.026MaRDI QIDQ822752zbMATH OpenOpenAlexFDO

Authors Olav Ersland, Espen R. Jakobsen

Publication date 23 September 2021

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

Copyright license Creative Commons Attribution 4.0 International

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)

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.

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• On fully nonlinear parabolic mean field games with nonlocal and local diffusions
• Variational time-fractional mean field games
• Semi-linear parabolic equations on homogenous Lie groups arising from mean field games
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• On the existence and uniqueness of solutions to time-dependent fractional MFG
• Fundamental solution for super-critical non-symmetric Lévy-type operators
• On numerical approximations of fractional and nonlocal mean field games

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