A study of common noise in mean field games
Abstract
This paper is concerned with the study of mean field games master equations involving an additional variable modelling common noise. We address cases in which the dynamics of this variable can depend on the state of the game, which requires in general additional monotonicity assumptions on the coefficients. We explore the link between such a common noise and more traditional ones, as well as the links between different monotone regimes for the master equation.
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