Monotone solutions of the master equation for Mean Field Games with no idiosyncratic noise - Archive ouverte HAL
Article Dans Une Revue SIAM Journal on Mathematical Analysis Année : 2022

Monotone solutions of the master equation for Mean Field Games with no idiosyncratic noise

Résumé

We introduce a notion of weak solution of the master equation without idiosyncratic noise in Mean Field Game theory and establish its existence, uniqueness up to a constant and consistency with classical solutions when it is smooth. We work in a monotone setting and rely on Lions' Hilbert space approach. For the first-order master equation without idiosyncratic noise, we also give an equivalent definition in the space of measures and establish the well-posedness.
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Dates et versions

hal-03359176 , version 1 (30-09-2021)

Identifiants

Citer

Pierre Cardaliaguet, Panagiotis E Souganidis. Monotone solutions of the master equation for Mean Field Games with no idiosyncratic noise. SIAM Journal on Mathematical Analysis, 2022, 54 (4), pp.4198-4237. ⟨hal-03359176⟩
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