Mean Field Games of Controls with Fractional Laplacian

Abstract

We analyze a fractional mean field game of controls system, showing existence of solutions when the order of the fractional Laplacian is $s\in(\frac{1}{2},1)$. Here the running cost depends on the distribution $\mu$ of not only the states but also optimal strategies. The coupling is assumed to satisfy the Lasry-Lions monotonicity condition. We derive three types of a priori estimates on solutions. First, we use the monotonicity condition to derive moment estimates on $\mu$. Second, we derive abstract estimates on fractional parabolic equations and apply them to the mean field game. Third, we derive new estimates on the time regularity of the distribution $\mu$ by analyzing the associated L\'evy process. We apply these estimates and the Leray-Schauder fixed point theorem to establish existence of solutions.