Lipschitz Stability Estimates for Master Fields with Measure-Variable Regularity in Mean Field Games

Abstract

In this paper, we investigate the Lipschitz stability of the master field and its functional derivative with respect to the measure variable for the master equation in mean field games. A key novelty of this work is the derivation of a nonlocal parabolic partial differential equation governing the functional measure derivative along a characteristic measure flow. Based on this equation, we establish a Carleman estimate for the difference of the measure derivatives associated with two sufficiently regular classical solutions. We also establish a Carleman estimate for the difference of the corresponding master fields, yielding a terminal-to-interior Lipschitz stability estimate along a characteristic measure flow. Together with stability of the associated measure flows, these estimates are used to control the resulting source terms. We then obtain a terminal-to-interior Lipschitz stability estimate for both the master field and its functional measure derivative in terms of the discrepancies of the terminal data. The result provides quantitative control of the master field with measure-variable regularity, and develops a Carleman-based framework for the stability analysis of master fields and their measure derivatives in mean field game master equations.