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Universita degli Studi di Padova

Sede Amministrativa: Universita degli Studi di PadovaDipartimento di Matematica

DOTTORATO DI RICERCA IN MATEMATICAINDIRIZZO: MATEMATICACICLO XXVI

NONLINEAR PDEs IN ERGODIC CONTROL,

MEAN FIELD GAMES AND PRESCRIBED

CURVATURE PROBLEMS

Direttore della Scuola: Ch.mo Prof. Paolo Dai PraCoordinatore dindirizzo: Ch.mo Prof. Franco CardinSupervisore: Ch.mo Prof. Martino Bardi

Dottorando: Marco Cirant

Dicembre 2013

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Abstract

This thesis is concerned with nonlinear elliptic PDEs and system of PDEs arising in vari-ous problems of stochastic control, differential games, specifically Mean Field Games, anddifferential geometry. It is divided in three parts.

The first part is focused on stochastic ergodic control problems where both the state andthe control space is Rd. The interest is in giving conditions on the fixed drift, the cost functionand the Lagrangian function that are sufficient for synthesizing an optimal control of feedbacktype. In order to obtain such conditions, an approach that combines the Lyapunov methodand the approximation of the problem on bounded sets with reflection of the diffusions atthe boundary is proposed. A general framework is developed first, and then particular casesare considered, which show how Lyapunov functions can be constructed from the solutionsof the approximating problems.

The second part is devoted to the study of Mean Field Games, a recent theory whichaims at modeling and analyzing complex decision processes involving a very large number ofindistinguishable rational agents. The attention is given to existence results for the multi-population MFG system of PDEs with homogeneous Neumann boundary conditions, thatare obtained combining elliptic a-priori estimates and fixed point arguments. A model ofsegregation between human populations, inspired by ideas of T. Schelling is then proposed.The model, that fits into the theoretical framework developed in the thesis, is analyzed fromthe qualitative point of view using numerical finite-difference techniques. The phenomenonof segregation between the population densities arises in the numerical experiments on theparticular mean field game model, assuming mild ethnocentric attitude of people as in theoriginal model of Schelling.

In the last part of the thesis some results on existence and uniqueness of solutions for theprescribed k-th principal curvature equation are presented. The Dirichlet problem for such afamily of degenerate elliptic fully nonlinear partial differential equations is solved using thetheory of Viscosity solutions, by implementing a version of the Perron method which involvessemiconvex subsolutions; the restriction to this class of functions is sufficient for proving aLipschitz estimate on the elliptic operator with respect to the gradient entry which is alsorequired for obtaining the comparison principle. Existence and uniqueness are stated undergeneral assumptions, and examples of data which satisfy the general hypotheses are provided.

Questa tesi ha come oggetto di studio EDP ellittiche nonlineari e sistemi di EDP che sipresentano in problemi di controllo stocastico, giochi differenziali, in particolare Mean FieldGames e geometria differenziale. I risultati contenuti si possono suddividere in tre parti.

Nella prima parte si pone lattenzione su problemi di controllo ergodico stocastico dovelo spazio degli stati e dei controlli coincide con lintero Rd. Linteresse e posto sul formularecondizioni sul drift, il funzionale di costo e la Lagrangiana sufficienti a sintetizzare un controlloottimo di tipo feedback. Al fine di ottenere tali condizioni, viene proposto un approccio che

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combina il metodo delle funzioni di Lyapunov e lapprossimazione del problema su dominilimitati con riflessione delle traiettorie al bordo. Le tecniche vengono formulate in terminigenerali e successivamente sono presi in considerazione esempi specifici, che mostrano comeopportune funzioni di Lyapunov possono essere costruite a partire dalle soluzioni dei problemiapprossimanti.

La seconda parte e incentrata sullo studio di Mean Fielda Games, una recente teoria chemira a elaborare modelli per analizzare processi di decisione in cui e coinvolto un grande nu-mero di agenti indistinguibili. Sono ottenuti nella tesi alcuni risultati di esistenza di soluzioniper sistemi MFG a piu popolazioni con condizioni al bordo omogenee di tipo Neumann, at-traverso stime a-priori ellittiche e argomenti di punto fisso. Viene in seguito proposto unmodello di segregazione tra popolazioni umane che prende ispirazione da alcune idee di T.Schelling. Tale modello si inserisce nel contesto teorico sviluppato nella tesi, e viene analizzatodal punto di vista qualitativo tramite tecniche numeriche alle differenze finite. Il fenomenodi segregazione tra popolazioni si riscontra negli esperimenti numerici svolti sul particolaremodello mean field, assumendo lipotesi di moderata mentalita etnocentrica delle persone,similmente alloriginale modello di Schelling.

Lultima parte della tesi riguarda alcuni risultati di esistenza e unicita di soluzioni perlequazione di k-esima curvatura principale prescritta. Il problema di Dirichlet per talefamiglia di equazioni ellittiche degeneri nonlineari e risolto implementando la teoria dellesoluzioni di Viscosita, applicando in particolare una versione del metodo di Perron basata susoluzioni semiconvesse; la restrizione a tale classe di funzioni risulta sufficiente per dimostrareuna stima di tipo Lipschitz sulloperatore ellittico, essenziale per ottenere un principio di con-fronto. Esistenza e unicita di soluzioni sono formulate in termini generali; vengono fornitiinfine esempi in cui condizioni particolari sui dati soddisfano tali ipotesi.

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Contents

Notations vii

Introduction ix

I Ergodic Control 1

1 Ergodic Control for Reflected Processes 3

1.1 Derivation of the HJB Equation . . . . . . . . . . . . . . . . . . . . . . . . . . 3

1.2 An Existence Result for the HJB equation . . . . . . . . . . . . . . . . . . . . 5

1.3 Ergodic property of Reflected Processes . . . . . . . . . . . . . . . . . . . . . 7

2 Ergodic Control in the Whole Space 11

2.1 A general recipe for solving the ergodic control problem on Rd. . . . . . . . . 122.1.1 The approximating Neumann problems. . . . . . . . . . . . . . . . . . 13

2.1.2 Convergence of the problems as R. . . . . . . . . . . . . . . . . . 142.1.3 Some additional results. . . . . . . . . . . . . . . . . . . . . . . . . . . 20

2.2 The ergodic problem in some special cases. . . . . . . . . . . . . . . . . . . . 21

2.2.1 Bounded cost. Case 1: b is inward pointing and coercive. . . . . . . . 23

2.2.2 Bounded cost. Case 2: b is inward pointing and bounded . . . . . . . 24

2.2.3 Bounded cost. Case 3: dXt = b(Xt) +

2dBt is ergodic. . . . . . . . 27

2.2.4 Coercive cost. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

II Multi-population Mean Field Games 33

3 Brief introduction to Multi-population MFG 35

3.1 A Heuristic Interpretation of the ergodic MFG system . . . . . . . . . . . . . 36

3.1.1 The Special Case of Quadratic Hamiltonian . . . . . . . . . . . . . . . 37

3.2 Nash equilibria of games with N players as N . . . . . . . . . . . . . . 38

4 Existence and Uniqueness for the MFG system 41

4.1 Existence: Non-local Costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

4.2 Existence: Local Costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45

4.2.1 Some Estimates for the Unbounded Costs Case. . . . . . . . . . . . . . 46

4.3 Uniqueness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50

5 A Model of Segregation 53

5.1 One-shot MFG Inspired by a model of Schelling . . . . . . . . . . . . . . . . . 53

5.1.1 A game with (N +N) players. . . . . . . . . . . . . . . . . . . . . . . 53

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5.1.2 Limits of Nash equilibria . . . . . . . . . . . . . . . . . . . . . . . . . 565.1.3 An improvement and a more sophisticated game. . . . . . . . . . . . . 575.1.4 The local limits. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59

5.2 The Mean Field Game with ergodic costs. . . . . . . . . . . . . . . . . . . . . 595.2.1 The deterministic case in space dimension one. . . . . . . . . . . . . . 60

5.3 Numerical Experiments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615.3.1 The numerical scheme . . . . . . . . . . . . . . . . . . . . . . . . . . . 625.3.2 One-dimensional simulations. . . . . . . . . . . . . . . . . . . . . . . . 645.3.3 Two-dimensional simulations. . . . . . . . . . . . . . . . . . . . . . . . 67

III The k-th Prescribed Curvature Equation 75

6 Introduction to Curvature Equations 776.1 Definitions and Preliminaries . . . . . . . . . . . . . . . . . . . . . . . . . . . 78

7 Existence and Uniqueness 837.1 The Comparison Principle. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 837.2 Existence for the Dirichlet problem. . . . . . . . . . . . . . . . . . . . . . . . 897.3 Sufficient conditions for Existence and Uniqueness . . . . . . . . . . . . . . . 91

A Some Elliptic Estimates 97

B Some Matrix Analysis 101

Bibliography 103

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Notations

Rd The d-dimensional Euclidean space, d 1.Br(x), Br The open ball of radius r centered at x. If x is omitted, we assume that

x = 0. will always be a bounded domain of Rd.USC() The space of upper semicontinuous functions on .

LSC() The space of lower semicontinuous functions on .C() The space of continuous functions on .Cav() The s

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