1. Global Well-Posedness of First-Order Mean Field Games and Master Equations with Nonlinear Dynamics
- Author
-
Bensoussan, Alain, Wong, Tak Kwong, Yam, Sheung Chi Phillip, and Yuan, Hongwei
- Subjects
Mathematics - Optimization and Control ,Mathematics - Analysis of PDEs ,Mathematics - Dynamical Systems ,Mathematics - Probability ,60H30, 60H10 - Abstract
This article presents the variant of the approach introduced in the recent work of Bensoussan, Wong, Yam and Yuan [13] to the generic first-order mean field game problem. A major contribution here is the provision of new crucial a priori estimates, whose establishment is fundamentally different from the mentioned work since the associated forward-backward ordinary differential equation (FBODE) system is notably different. In addition, we require monotonicity conditions intimately on the coefficient functions but not on the Hamiltonians to handle their non-separable nature and nonlinear dynamics; as tackling Hamiltonians directly, it potentially dissolves much useful information. Compared with the assumptions used in [13], we introduce an additional requirement that the first-order derivative of the drift function in the measure variable cannot be too large relative to the convexity of the running cost function; this requirement only arises when the Hamiltonian is non-separable, and this phenomenon can also be seen in the existing literature. On the other hand, we require less here for the second-order differentiability of the coefficient functions in comparison to that in [13]. Our approach involves first demonstrating the local existence of a solution over small time interval, followed by the provision of new crucial a priori estimates for the sensitivity of the backward equation with respect to the initial condition of forward dynamics; and finally, smoothly gluing the local solutions together to form a global solution. In addition, we establish the local and global existence and uniqueness of classical solutions for the mean field game and its master equation., Comment: Both this work and arXiv:2305.11848 apply a similar approach to investigate the global-in-time well-posedness of two significant problems in mean field theory, namely mean field games in this work, and the mean field type control problems in arXiv:2305.11848
- Published
- 2023