Monotone solutions for mean field games master equations: continuous state space and common noise
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Publication:6182220
DOI10.1080/03605302.2023.2276564arXiv2107.09531OpenAlexW3184444886MaRDI QIDQ6182220
Author name not available (Why is that?)
Publication date: 23 January 2024
Published in: (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2107.09531
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