Short-time existence and uniqueness for some infinite-dimensional Nash systems

Abstract

We prove local (in time) existence and uniqueness for a class of infinite-dimensional Nash systems, namely systems of infinitely many Hamilton-Jacobi-Bellman equations set in an infinite-dimensional Euclidean space. Such systems have been recently showed (see arXiv:2401.06534) to arise in the theory of stochastic differential games with interactions governed by sparse graphs, under structural assumptions that inspired the hypotheses exploited in the present work. Contextually, we also prove a general linear result, providing a priori estimates, stable with respect to the dimension, for transport-diffusion equations whose drifts (and their derivatives) enjoy appropriate decay properties.