A Hessian-dependent functional with free boundaries and applications to mean-field games

Abstract

We study a Hessian-dependent functional driven by a fully nonlinear operator. The associated Euler-Lagrange equation is a fully nonlinear mean-field game with free boundaries. Our findings include the existence of solutions to the mean-field game, together with H\"older continuity of the value function and improved integrability of the density. In addition, we prove the reduced free boundary is a set of finite perimeter. To conclude our analysis, we prove a $\Gamma$-convergence result for the functional.