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Monotone solutions for mean field games master equations : continuous state space and common noise

Abstract : We present the notion of monotone solution of mean field games master equations in the case of a continuous state space. We establish the existence, uniqueness and stability of such solutions under standard assumptions. This notion allows us to work with solutions which are merely continuous in the measure argument, in the case of first order master equations. We study several structures of common noises, in particular ones in which common jumps (or aggregate shocks) can happen randomly, and ones in which the correlation of randomness is carried by an additional parameter.
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Preprints, Working Papers, ...
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https://hal.archives-ouvertes.fr/hal-03291593
Contributor : Charles Bertucci <>
Submitted on : Monday, July 19, 2021 - 6:24:57 PM
Last modification on : Wednesday, July 21, 2021 - 3:48:44 AM

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  • HAL Id : hal-03291593, version 1
  • ARXIV : 2107.09531

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Charles Bertucci. Monotone solutions for mean field games master equations : continuous state space and common noise. 2021. ⟨hal-03291593⟩

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