Extended mean field games with terminal constraint via decoupling fields

Abstract: We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained control problem by adding a penalized term in the cost functional and then taking a limit. Using the stochastic maximum principle, we characterize the solution of the unconstrained control problem in terms of a conditional mean field forward-backward stochastic differential equation (FBSDE). We obtain the wellposedness results of the FBSDE and the monotonicity property of its decoupling field. Based on that, we solve the original constrained problem and characterize its solution in terms of a system of coupled conditional mean field FBSDE with a free backward part. In particular, we obtain the solvability of a new type of coupled conditional mean field FBSDEs.