This was part of Mathematical Advances in Mean Field Games
Mean field games with common noise and degenerate idiosyncratic noise
Ben Seeger, Université Paris Dauphine
Tuesday, December 14, 2021
Abstract: We consider mean field games subject to Brownian common noise as well as a degenerate idiosyncratic noise. Because of the degeneracy of the idiosyncratic noise, neither the forward-backward system of stochastic partial differential equations nor the master equation admits classical solutions, and it is necessary to develop a notion of weak solutions.