English

On non-uniqueness in mean field games

Probability 2020-03-18 v2 Optimization and Control Mathematical Finance

Abstract

We analyze an N+1N+1-player game and the corresponding mean field game with state space {0,1}\{0,1\}. The transition rate of jj-th player is the sum of his control αj\alpha^j plus a minimum jumping rate η\eta. Instead of working under monotonicity conditions, here we consider an anti-monotone running cost. We show that the mean field game equation may have multiple solutions if η<12\eta < \frac{1}{2}. We also prove that that although multiple solutions exist, only the one coming from the entropy solution is charged (when η=0\eta=0), and therefore resolve a conjecture of ArXiv: 1903.05788.

Keywords

Cite

@article{arxiv.1908.06207,
  title  = {On non-uniqueness in mean field games},
  author = {Erhan Bayraktar and Xin Zhang},
  journal= {arXiv preprint arXiv:1908.06207},
  year   = {2020}
}

Comments

To appear in the Proceedings of the AMS. Keywords: Mean field game, Entropy solution, master equation, Nash equilibrium, Non-uniqueness

R2 v1 2026-06-23T10:49:36.875Z