The Master Equation in a Bounded Domain under Invariance Conditions for the State Space

TL;DR

This paper establishes the existence, uniqueness, and regularity of solutions to the Master Equation in bounded domains with invariance conditions, and demonstrates convergence from Nash systems to the Master Equation.

Contribution

It provides new results on well-posedness and regularity of the Master Equation under invariance conditions in bounded domains.

Findings

Proved well-posedness of the Master Equation with invariance conditions.

Established interior regularity of solutions in bounded domains.

Showed convergence of Nash system solutions to the Master Equation.

Abstract

In this paper, we study the well-posedness (existence and uniqueness) of the Master Equation of Mean Field Games under invariance-type conditions, otherwise known as viability conditions for the controlled dynamics. The interior regularity of the solutions of the associated Mean Field Game system and its linearized version, which plays a crucial role in the proof of the existence, is obtained by the global regularity of the corresponding solutions in the Neumann boundary conditions case. Finally, we prove that the solution of the related Nash system converges to the solution of the Master Equation.