<p>The purpose of this article is to show that an intrinsic noise with values in the space <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\({\mathcal {P}}({\mathbb {R}})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="script">P</mi> <mo stretchy="false">(</mo> <mi mathvariant="double-struck">R</mi> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation> of 1<i>d</i> probability measures may force uniqueness to first order mean field games. The structure of the noise is inspired from the earlier work (Delarue and Hammersley in Probab Theory Relat Fields 191(1–2):41–102, 2025) . It reads as a coloured Ornstein-Uhlenbeck process with reflection on the boundary of quantile functions on the 1<i>d</i> torus, with the elements of the latter playing the role of indices for the continuum of players underpinning the game. In Delarue and Hammersley (Probab Theory Relat Fields 191(1–2):41–102, 2025), the semi-group generated by the noise is shown to enjoy smoothing properties that become key in the study carried out here. Although the analysis is limited to the 1d setting, this is the first example of uniqueness forcing for generic mean field games set over an infinite dimensional set of probability measures and this may be one step forward towards a more systematic regularization by noise theory for mean field games.</p>

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Intrinsic Regularization by Noise for 1d Mean Field Games

  • François Delarue,
  • Youssef Ouknine

摘要

The purpose of this article is to show that an intrinsic noise with values in the space \({\mathcal {P}}({\mathbb {R}})\) P ( R ) of 1d probability measures may force uniqueness to first order mean field games. The structure of the noise is inspired from the earlier work (Delarue and Hammersley in Probab Theory Relat Fields 191(1–2):41–102, 2025) . It reads as a coloured Ornstein-Uhlenbeck process with reflection on the boundary of quantile functions on the 1d torus, with the elements of the latter playing the role of indices for the continuum of players underpinning the game. In Delarue and Hammersley (Probab Theory Relat Fields 191(1–2):41–102, 2025), the semi-group generated by the noise is shown to enjoy smoothing properties that become key in the study carried out here. Although the analysis is limited to the 1d setting, this is the first example of uniqueness forcing for generic mean field games set over an infinite dimensional set of probability measures and this may be one step forward towards a more systematic regularization by noise theory for mean field games.