On some mean field games and master equations through the lens of conservation laws

Graber, P. Jameson; Mészáros, Alpár R.

Abstract

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 only at the terminal time. The point of view via this transport equation has two important consequences. First, this equation reveals a new monotonicity condition that is sufficient both for the uniqueness of MFG Nash equilibria and for the global in time well-posedness of master equations. Interestingly, this condition is in general in dichotomy with both the Lasry–Lions and displacement monotonicity conditions, studied so far in the literature. Second, in the absence of monotonicity, the conservative form of the transport equation can be used to define weak entropy solutions to the master equation. We construct several concrete examples to demonstrate that MFG Nash equilibria, whether or not they actually exist, may not be selected by the entropy solutions of the master equation.

Citation

Graber, P. J., & Mészáros, A. R. (2024). On some mean field games and master equations through the lens of conservation laws. Mathematische Annalen, https://doi.org/10.1007/s00208-024-02859-z

• Journal Article Type: Article
• Acceptance Date: Mar 24, 2024
• Online Publication Date: Apr 16, 2024
• Publication Date: Apr 16, 2024
• Deposit Date: Apr 16, 2024
• Publicly Available Date: Apr 18, 2024
• Journal: Mathematische Annalen
• Print ISSN: 0025-5831
• Electronic ISSN: 1432-1807
• Publisher: Springer
• Peer Reviewed: Peer Reviewed
• DOI: https://doi.org/10.1007/s00208-024-02859-z
• Public URL: https://durham-repository.worktribe.com/output/2386944