Global Well-Posedness of First-Order Mean Field Games and Master Equations with Nonlinear Dynamics

This article presents the variant of the approach introduced in the recent work of Bensoussan, Wong, Yam and Yuan [13] to the generic first-order mean field game problem. A major contribution here is the provision of new crucial a priori estimates, whose establishment is fundamentally different from the mentioned work since the associated forward-backward ordinary differential equation (FBODE) system is notably different. In addition, we require monotonicity conditions intimately on the coefficient functions but not on the Hamiltonians to handle their non-separable nature and nonlinear dynamics; as tackling Hamiltonians directly, it potentially dissolves much useful information. Compared with the assumptions used in [13], we introduce an additional requirement that the first-order derivative of the drift function in the measure variable cannot be too large relative to the convexity of the running cost function; this requirement only arises when the Hamiltonian is non-separable, and this phenomenon can also be seen in the existing literature. On the other hand, we require less here for the second-order differentiability of the coefficient functions in comparison to that in [13]. Our approach involves first demonstrating the local existence of a solution over small time interval, followed by the provision of new crucial a priori estimates for the sensitivity of the backward equation with respect to the initial condition of forward dynamics; and finally, smoothly gluing the local solutions together to form a global solution. In addition, we establish the local and global existence and uniqueness of classical solutions for the mean field game and its master equation.