Minimal solutions of master equations for extended mean field games

Abstract: In an extended mean field game the vector field governing the flow of the population can be different from that of the individual player at some mean field equilibrium. This new class strictly includes the standard mean field games. It is well known that, without any monotonicity conditions, mean field games typically contain multiple mean field equilibria and the wellposedness of their corresponding master equations fails. In this paper, a partial order for the set of probability measure flows is proposed to compare different mean field equilibria. The minimal and maximal mean field equilibria under this partial order are constructed and satisfy the flow property. The corresponding value functions, however, are in general discontinuous. We thus introduce a notion of weak-viscosity solutions for the master equation and verify that the value functions are indeed weak-viscosity solutions. Moreover, a comparison principle for weak-viscosity semi-solutions is established and thus these two value functions serve as the minimal and maximal weak-viscosity solutions in appropriate sense. In particular, when these two value functions coincide, the value function becomes the unique weak-viscosity solution to the master equation. The novelties of the work persist even when restricted to the standard mean field games.