On Mean Field Monotonicity Conditions from Control Theoretical Perspective

TL;DR

This paper explores control-theoretic conditions ensuring well-posedness in mean field games and control problems, introducing a novel quasi-monotonicity condition and linking it to existing convexity and small effect assumptions.

Contribution

It introduces a new displacement quasi-monotonicity condition for MFGs and connects it with established conditions, expanding the theoretical framework for well-posedness analysis.

Findings

The new quasi-monotonicity condition generalizes existing monotonicity conditions.

Convexity and small mean field effect imply $eta$-monotonicity for MFGs.

Convexity alone ensures $eta$-monotonicity for MFTC.

Abstract

In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions arising from problems of mean field games (MFGs) and mean field type control (MFTC). We first introduce the well-posedness of general forward-backward stochastic differential equations (FBSDEs) defined on some suitably chosen Hilbert spaces under the $\beta$-monotonicity. We then propose a monotonicity condition for the MFG, namely partitioning the running cost functional into two parts, so that both parts still depend on the control and the state distribution, yet one satisfies a strong convexity and a small mean field effect condition, while the other has a newly introduced displacement quasi-monotonicity. To the best of our knowledge, the latter quasi type condition has not yet been discussed in the contemporary literature, and it can be considered as a bit more general monotonicity condition than those commonly used. Besides, for the MFG, we show that convexity and small mean field effect condition for the first part of running cost functional and the quasi-monotonicity condition for the second part together imply the $\beta$-monotonicity and thus the well-posedness for the associated FBSDEs. For the MFTC problem, we show that the $\beta$-monotonicity for the corresponding FBSDEs is simply the convexity assumption on the cost functional. Finally, we consider a more general setting where the drift functional is allowed to be non-linear for both MFG and MFTC problems.