The lifted functional approach to mean field games with common noise

Abstract

We introduce a new path-by-path approach to mean field games with common noise that recovers duality at the pathwise level. We verify this perspective by explicitly solving some difficult examples with linear-quadratic data, including control in the volatility coefficient of the common noise as well as the constraint of partial information. As an application, we establish the celebrated separation principle in the latter context. In pursuing this program, we believe we have made a crucial contribution to clarifying the notion of regular solution in the path dependent PDE literature.