Mean-field games with rough common noise: the compactification approach

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Authors: Erhan Bayraktar, Xihao He, Xiang Yu, Fengyi Yuan
Cited by: 0

Abstract

We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driven by an idiosyncratic Brownian motion and a deterministic rough-path signal that affects the whole population. Within this new framework, we introduce a canonical weak formulation based on relaxed controls and rough martingale problems. We prove the existence of a pathwise mean-field equilibrium by developing new compactification tools that accommodate rough integration and differ substantially from classical compactification arguments in the literature. Finally, we discuss the relationship between the pathwise problem and the classical MFG problem with randomized Brownian common noise. Using the notion of a pathwise admissible set, we recast mean-field game problems with common noise as optimization problems over an extended space of probability measures. We establish an equivalent characterization of Carmona-Delarue-Lacker's weak equilibrium and, as an application, give an alternative proof of strong equilibrium without first establishing pathwise uniqueness.

Fields of Study & Subjects

Stochastic processes and financial applications Game Theory and Applications Geometric Analysis and Curvature Flows

Publication details

Journal / source
arXiv (Cornell University)
Publication date
26 February 2026
Language
EN
Document type
Preprint