Mean Field Games of Controls: Propagation of Monotonicities

TL;DR

This paper studies how different types of monotonicity conditions in Mean Field Games of Controls propagate along solutions, extending existing theories and contributing to the global well-posedness of master equations with common noise.

Contribution

It investigates the propagation of various monotonicity conditions in Mean Field Games of Controls, including a new extension of displacement monotonicity to semi-monotonicity.

Findings

Propagation of monotonicities along master equation solutions.

Extension of displacement monotonicity to semi-monotonicity.

Foundation for global well-posedness of master equations in this context.

Abstract

The theory of Mean Field Game of Controls considers a class of mean field games where the interaction is through the joint distribution of the state and control. It is well known that, for standard mean field games, certain monotonicity condition is crucial to guarantee the uniqueness of mean field equilibria and then the global wellposedness for master equations. In the literature, the monotonicity condition could be the Lasry-Lions monotonicity, the displacement monotonicity, or the anti-monotonicity conditions. In this paper, we investigate all these three types of monotonicity conditions for Mean Field Games of Controls and show their propagation along the solutions to the master equations with common noises. In particular, we extend the displacement monotonicity to semi-monotonicity, whose propagation result is new even for standard mean field games. This is the first step towards the global wellposedness theory for master equations of Mean Field Games of Controls.