Mean field games with terminal state constraints

Abstract

We study a mean field game (MFG) of state and control with state dynamics described by stochastic differential equations driven by both idiosyncratic and common noise, and subject to the constraint that the terminal state variable belongs to a nonempty, convex, closed set. The mean-field interaction enters both the dynamics and the costs through state and control. We formulate an equivalent auxiliary MFG problem and derive the stochastic maximum principle for an auxiliary optimization problem under fixed flows. By means of a suitable forward-backward stochastic differential equation (FBSDE) of conditional McKean-Vlasov type, we establish a characterization of MFG solutions via such a system. Moreover, we prove the existence and uniqueness of solutions for the FBSDE system in the specific case where the running cost is zero and the state coefficients are linear. Additionally, we obtain uniqueness results in the sense of Lasry-Lions and we apply our findings to MFGs of optimal investment with a quadratic relative performance criterion.