English

Mean field games with common noise via Malliavin calculus

Probability 2025-11-04 v3

Abstract

We present a simpler proof of the existence of equilibria for a class of mean field games with common noise, where players interact through the conditional law given the current value of the common noise rather than its entire path. By extending a compactness criterion for Malliavin-differentiable random variables to processes, we establish existence of strong equilibria, where the conditional law and optimal control are adapted to the common noise filtration and defined on the original probability space. Notably, our approach only requires measurability of the drift and cost functionals with respect to the state variable.

Keywords

Cite

@article{arxiv.2405.02244,
  title  = {Mean field games with common noise via Malliavin calculus},
  author = {Ludovic Tangpi and Shichun Wang},
  journal= {arXiv preprint arXiv:2405.02244},
  year   = {2025}
}