Hidden monotonicity and canonical transformations for mean field games and master equations
Abstract In this paper we unveil novel monotonicity conditions applicable to Mean Field Games through the exploration of finite dimensional canonical transformations . Our findings contribute to establishing new global well-posedness results for the associated master equations, also in the case of potentially degenerate idiosyncratic noise. Additionally, we show that recent advancements in global well-posedness results, specifically those related to displacement semi-monotone and anti-monotone data, can be easily obtained as a consequence of our main results.
Authors
- Alpár R. Mészáros (ORCID: https://orcid.org/0000-0002-1824-376X)
- Mohit Bansil (ORCID: https://orcid.org/0000-0003-2565-9613)
Institutions
- Durham University (GB)
- University of California System (US)
Publication Details
- Journal
- Forum of Mathematics Sigma
- Published
- 2025-01-01
- DOI
- https://doi.org/10.1017/fms.2025.10130
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Science Foundation
- UK Research and Innovation
- King Abdullah University of Science and Technology
- Engineering and Physical Sciences Research Council
- Division of Mathematical Sciences