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Hypoelliptic Mean Field Games - a Case Study
Journal article

Hypoelliptic Mean Field Games - a Case Study

Ermal Feleqi, Diogo Gomes and Teruo Tada
MINIMAX THEORY AND ITS APPLICATIONS, Vol.5(2), pp.305-326
01/01/2020

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology
We study hypoelliptic mean-field games (MFG) that arise in stochastic control problems of degenerate diffusions. Here, we consider MFGs with quadratic Hamiltonians and prove the existence and uniqueness of solutions. Our main tool is the Hopf-Cole transform that converts the MFG into an eigenvalue problem. We prove the existence of a principal eigenvalue and a positive eigen function, which are then used to construct the unique solution to the original MFG.

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