Infinite-Dimensional LQ Mean Field Games with Common Noise: Small and Arbitrary Finite Time Horizons

Abstract

We develop the theory of linear-quadratic (LQ) mean field games (MFGs) in Hilbert spaces with common noise modeled by an infinite-dimensional Wiener process that affects the dynamics of all agents. In the presence of common noise, the mean-field consistency condition is characterized by a system of coupled forward-backward stochastic evolution equations (FBSEEs) in Hilbert spaces, whereas, in its absence it is represented by coupled forward-backward deterministic evolution equations. We establish the existence and uniqueness of solutions to the coupled linear FBSEEs associated with the LQ MFG framework for small time horizons and prove the $ε$-Nash property of the resulting equilibrium strategy. Furthermore, we establish the well-posedness of these coupled linear FBSEEs for arbitrary finite time horizons. Beyond the specific context of MFGs, our analysis also yields a broader contribution by providing, to the best of our knowledge, the first well-posedness result for a class of infinite-dimensional linear FBSEEs, for which only mild solutions exist, over arbitrary finite time horizons.