Linear-quadratic extended mean field games with common noises

Abstract: In this paper, we consider a class of linear quadratic extended mean field games (MFGs) with common noises where the state coefficients and the cost functional vary with the mean field term in a nonlinear way. Based on stochastic maximum principle, solving the mean field game is transformed into solving a conditional mean field forward-backward stochastic differential equation (FBSDE). We first establish solvability for a type of (more general) conditional mean field FBSDEs under monotonicity conditions. We further provide some regularity results which lead to classical solutions for the associated master equations. In particular, the linear quadratic extended mean field game is solved and classical solution for (extended mean field game) master equation is obtained.