Mean Field Games Systems under Displacement Monotonicity
Alpár R. Mészáros, Chenchen Mou
Source abstract
Abstract. In this note we prove the uniqueness of solutions to a class of mean field games systems subject to possibly degenerate individual noise. Our results hold true for arbitrary long time horizons and for general nonseparable Hamiltonians that satisfy a so-called displacement monotonicity condition. This monotonicity condition that we propose for nonseparable Hamiltonians is sharper and more general than the one proposed in the work [W. Gangbo et al., Ann. Probab., 50 (2022), pp. 2178–2217]. The displacement monotonicity assumptions imposed on the data actually provide not only uniqueness, but also the existence and regularity of the solutions. Our analysis uses elementary arguments and does not rely on the well-posedness of the corresponding master equations.
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