A variational approach to second order mean field games with density constraints: the stationary case
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mean field gamesoptimality conditionstochastic optimal controlsubdifferentialvariational formulationconvex duality methodsdensity constraints
Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Nonsmooth analysis (49J52) Variational methods for elliptic systems (35J50) Second-order elliptic systems (35J47) Optimality conditions for problems involving partial differential equations (49K20) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
Abstract: In this paper we study second order stationary Mean Field Game systems under density constraints on a bounded domain . We show the existence of weak solutions for power-like Hamiltonians with arbitrary order of growth. Our strategy is a variational one, i.e. we obtain the Mean Field Game system as the optimality condition of a convex optimization problem, which has a solution. When the Hamiltonian has a growth of order , the solution of the optimization problem is continuous which implies that the problem constraints are qualified. Using this fact and the computation of the subdifferential of a convex functional introduced by Benamou-Brenier, we prove the existence of a solution of the MFG system. In the case where the Hamiltonian has a growth of order , the previous arguments do not apply and we prove the existence by means of an approximation argument.
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