MEAN FIELD GAMES MASTER EQUATIONS WITH NONSEPARABLE HAMILTONIANS AND DISPLACEMENT MONOTONICITY

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

7 Scopus Citations
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Author(s)

  • Wilfrid GANGBO
  • Alpár R. MÉSZÁROS
  • Chenchen MOU
  • Jianfeng ZHANG

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)2178-2217
Journal / PublicationAnnals of Probability
Volume50
Issue number6
Online published23 Oct 2022
Publication statusPublished - Nov 2022

Abstract

In this manuscript we propose a structural condition on nonseparable 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 brought to bear a global (in time) well-posedness theory, based on a priori uniform Lipschitz estimates on the solution in the measure variable. Displacement monotonicity being sometimes in dichotomy with the widely used Lasry–Lions monotonicity condition, the novelties of this work persist even when restricted to separable Hamiltonians.

Research Area(s)

  • Displacement monotonicity, Lasry–lions monotonicity, Master equation, Mean field games

Citation Format(s)

MEAN FIELD GAMES MASTER EQUATIONS WITH NONSEPARABLE HAMILTONIANS AND DISPLACEMENT MONOTONICITY. / GANGBO, Wilfrid; MÉSZÁROS, Alpár R.; MOU, Chenchen et al.
In: Annals of Probability, Vol. 50, No. 6, 11.2022, p. 2178-2217.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review