In this talk I will describe how to construct global in time classical solutions to the master equation arising in mean field games. Our method works for a general class of non-separable Hamiltonians and final data that satisfy a suitable monotonicity condition. This stems from the so-called displacement convexity condition introduced and used successfully in the theory of optimal mass transportation. Our results hold true independently of the intensity of the idiosyncratic noise.
The talk is based on recent works with M. Bansil, W. Gangbo, C. Mou and J. Zhang.
This video was produced by the SITE Research Center at New York University, as part of their talk series.
