Finite state Mean Field Games with Wright-Fisher common noise

Erhan Bayraktar; Alekos Cecchin; Asaf Cohen; Francois Delarue

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arXiv · 1912.06701

Finite state Mean Field Games with Wright-Fisher common noise

Erhan Bayraktar·Alekos Cecchin·Asaf Cohen·Francois Delarue

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Abstract

We force uniqueness in finite state mean field games by adding a Wright-Fisher common noise. We achieve this by analyzing the master equation of this game, which is a degenerate parabolic second-order partial differential equation set on the simplex whose characteristics solve the stochastic forward-backward system associated with the mean field game; see Cardaliaguet et al. (2019). We show that this equation, which is a non-linear version of the Kimura type equation studied in Epstein and Mazzeo (2013), has a unique smooth solution whenever the normal component of the drift at the boundary is strong enough. Among others, this requires a priori estimates of H\"older type for the corresponding Kimura operator when the drift therein is merely continuous.

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BibTeX RIS

Erhan Bayraktar, Alekos Cecchin, Asaf Cohen, Francois Delarue. 2019-12-13. Finite state Mean Field Games with Wright-Fisher common noise. https://arxiv.org/abs/1912.06701

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