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 journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 2178-2217 |
Journal / Publication | Annals of Probability |
Volume | 50 |
Issue number | 6 |
Online published | 23 Oct 2022 |
Publication status | Published - Nov 2022 |
Link(s)
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.
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 journal › peer-review