Noise through an additional variable for mean field games master equation on finite state space

Abstract

This paper provides a mathematical study of the well-posedness of master equation on finite state space involving terms modelling common noise. In this setting, the solution of the master equation depends on an additional variable modelling the value of a stochastic process impacting all players. Using technique from viscosity solutions, we give sufficient conditions for the existence of a Lipschitz continuous solution on any time interval. Under some structural assumptions, we are even able to treat cases in which the dynamics of this stochastic process depend on the state of the game.