Related papers: Master equation for the finite state space plannin…
In this paper we construct global in time classical solutions to mean field games master equations in the lack of idiosyncratic noise in the individual agents' dynamics. These include both deterministic models and dynamics driven solely by…
This paper introduces a notion of weak solution for the coupled system of master equations in mean field games with a major player. It extends the previously introduced notion of Lipschitz solutions in mean field games. By relying on a…
The general solution to the quantum master equation (and its $Sp(2)$ symmetric counterpart) is constructed explicitly in case of finite number of variables. It is shown that the finite-dimensional solution is physically trivial and thus can…
It is well known that the monotonicity condition, either in Lasry-Lions sense or in displacement sense, is crucial for the global well-posedness of mean field game master equations, as well as for the uniqueness of mean field equilibria and…
We develop a classical well-posedness and regularity theory on a finite connected weighted graph for an extended mean field game system, its associated master equation, and a Hamilton-Jacobi- Bellman equation on the probability simplex, all…
A mean field argument is used to derive a master equation for systems simultaneously interacting with external fields and coupled environmental degrees of freedom. We prove that this master equation preserves positivity of the reduced…
In this manuscript we derive a new nonlinear transport equation written on the space of probability measures that allows to study a class of deterministic mean field games and master equations, where the interaction of the agents happens…
We establish the first unconditional well-posedness result for the master equation associated with a general class of mean field games of controls. Our analysis covers games with displacement monotone or Lasry--Lions monotone data, as well…
We establish the existence and uniqueness of a solution to the master equation for a mean field game of controls with absorption. The mean field game arises as a continuum limit of a dynamic game of exhaustible resources modeling Cournot…
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…
Mean field games model equilibria in games with a continuum of players as limiting systems of symmetric $n$-player games with weak interaction between the players. We consider a finite-state, infinite-horizon problem with two cost criteria:…
We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become…
Here, we develop numerical methods for finite-state mean-field games (MFGs) that satisfy a monotonicity condition. MFGs are determined by a system of differential equations with initial and terminal boundary conditions. These non-standard…
We develop a splitting method to prove the well-posedness, in short time, of solutions for two master equations in mean field game (MFG) theory: the second order master equation, describing MFGs with a common noise, and the system of master…
In this paper, we consider mean-field games where the interaction of each player with the mean-field takes into account not only the states of the players but also their collective behavior, To do so, we develop a random variable framework…
We formulate a class of mean field games on a finite state space with variational principles resembling those in continuous-state mean field games. We construct a controlled continuity equation featuring a nonlinear activation function on…
We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution…
The goal of this paper is to provide a selection principle for potential mean field games on a finite state space and, in this respect, to show that equilibria that do not minimize the corresponding mean field control problem should be…
The idea of monotonicity (or positive-definiteness in the linear case) is shown to be the central theme of the solution theories associated with problems of mathematical physics. A "grand unified" setting is surveyed covering a…
In this manuscript, we propose a structural condition on non-separable Hamiltonians, which we term displacement monotonicity condition, to study second order mean field games master equations. A rate of dissipation of a bilinear form is…