Calculus of Variations and Geometric Measure Theory

R. Ducasse - G. Mazanti - F. Santambrogio

Second order local minimal-time Mean Field Games

created by santambro on 25 May 2020
modified on 14 Apr 2022


Accepted Paper

Inserted: 25 may 2020
Last Updated: 14 apr 2022

Journal: Nonlinear Differential Equations and Applications NoDEA
Year: 2022

In this new version, stronger and more recent results from the theory of parabolic PDEs are taken into account and allow for a simpler presentation.


The paper considers a forward-backward system of parabolic PDEs arising in a Mean Field Game (MFG) model where every agent controls the drift of a trajectory subject to Brownian diffusion, trying to escape a given bounded domain $\Omega$ in minimal expected time. Agents are constrained by a bound on the drift depending on the density of other agents at their location. Existence for a finite time horizon $T$ is proven via a fixed point argument, but the natural setting for this problem is in infinite time horizon. Estimates are needed to treat the limit $T\to\infty$, and the asymptotic behavior of the solution obtained in this way is also studied. This passes through classical parabolic arguments and specific computations for MFGs. Both the Fokker--Planck equation on the density of agents and the Hamilton--Jacobi--Bellman equation on the value function display Dirichlet boundary conditions as a consequence of the fact that agents stop as soon as they reach $\partial\Omega$. The initial datum for the density is given, and the long-time limit of the value function is characterized as the solution of a stationary problem.