The paper proves global well-posedness of mean field games master equations with an endogenous common noise variable under flat or L2/displacement monotonicity conditions, including in the presence of additive common noise.
A two spaces extension of Cauchy-Lipschitz Theorem
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abstract
We adapt the classical theory of local well-posedness of evolution problems to cases in which the nonlinearity can be accurately quantified by two different norms. For ordinary differential equations, we consider $\dot{x} = f(x,x)$ for a function $f: V\times E \to E$ where $E$ is a Banach space and $V \hookrightarrow E$ a normed vector space. This structure allows us to distinguish between the two dependencies of $f$ in $x$ and allows to generalize classical results. We also prove a similar results for partial differential equations.
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A study of common noise in mean field games
The paper proves global well-posedness of mean field games master equations with an endogenous common noise variable under flat or L2/displacement monotonicity conditions, including in the presence of additive common noise.