A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , , |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866912805324587008 |
|---|---|
| author | Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip |
| author_facet | Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip |
| contents | In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward stochastic differential equations (FBSDEs) associated with the MFG and arising from the maximum principle, and estimate the corresponding Jacobian and Hessian flows. We further establish the classical regularity of the value functional $V$; in particular, we show that when the cost function is $C^3$ in the spatial and control variables and $C^2$ in the distribution argument, then the value functional is $C^1$ in time and $C^2$ in the spatial and distribution variables. As a consequence, the value functional $V$ is the unique classical solution of the degenerate MFG master equation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_12404 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip Optimization and Control Probability 60H30, 60H10, 93E20 In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method, we study the well-posedness of the forward-backward stochastic differential equations (FBSDEs) associated with the MFG and arising from the maximum principle, and estimate the corresponding Jacobian and Hessian flows. We further establish the classical regularity of the value functional $V$; in particular, we show that when the cost function is $C^3$ in the spatial and control variables and $C^2$ in the distribution argument, then the value functional is $C^1$ in time and $C^2$ in the spatial and distribution variables. As a consequence, the value functional $V$ is the unique classical solution of the degenerate MFG master equation. |
| title | A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations |
| topic | Optimization and Control Probability 60H30, 60H10, 93E20 |
| url | https://arxiv.org/abs/2410.12404 |