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Wellposedness of second order master equations for mean field games with nonsmooth data / Chenchen Mou, Jianfeng Zhang

By: Contributor(s): Resource type: Ressourcentyp: BuchBookLanguage: English Series: American Mathematical Society. Memoirs of the American Mathematical Society ; volume 302, number 1515 (October 2024)Publisher: Providence : American Mathematical Society, October 2024Description: v, 86 SeitenISBN:
  • 9781470470395
Subject(s): Additional physical formats: Erscheint auch als: Wellposedness of second order master equations for mean field games with nonsmooth data. Online-Ausgabe Providence : American Mathematical Society, 2024. 1 Online-Ressource (v, 86 Seiten)MSC: MSC: 49N80 | 35Q89 | 91A16 | 60H30Summary: In this paper we study second order master equations arising from mean field games with common noise over arbitrary time duration. A classical solution typically requires the monotonicity condition (or small time duration) and sufficiently smooth data. While keeping the monotonicity condition, our goal is to relax the regularity of the data, which is an open problem in the literature. In particular, we do not require any differentiability in terms of the measures, which prevents us from obtaining classical solutions. We shall propose three weaker notions of solutions, named as good solutions, weak solutions, and weak-viscosity solutions, respectively, and establish the wellposedness of the master equation under all three notions. We emphasize that, due to the game nature, one cannot expect comparison principle even for classical solutions. The key for the global (in time) wellposedness is the uniform a priori estimate for the Lipschitz continuity of the solution in the measures. The monotonicity condition is crucial for this uniform estimate and thus is crucial for the existence of the global solution, but is not needed for the uniqueness in such Lipschitz class. To facilitate our analysis, we construct a smooth mollifier for functions on Wasserstein space, which is new in the literature and is interesting in its own right. Following the same approach of our wellposedness results, we prove the convergence of the Nash system, a high dimensional system of PDEs arising from the corresponding N-player game, under mild regularity requirements. We shall also prove a propagation of chaos property for the associated optimal trajectories.PPN: PPN: 1910922722
Holdings
Item type Home library Shelving location Call number Status
Institutsbestand Fachbibliothek Mathematik Bibliothek / frei aufgestellt Z 57 c-302.2024,1515 Nicht ausleihbar
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