We establish the existence and uniqueness of a solution to the master equation for a mean field game of controls with absorption. The mean field game arises as a continuum limit of a dynamic game of exhaustible resources modeling Cournot competition between producers. The proof relies on an analysis of a forward-backward system of nonlocal Hamilton-Jacobi/Fokker-Planck equations with Dirichlet boundary conditions. In particular, we establish new a priori estimates to prove that solutions are differentiable with respect to the initial measure.
All Science Journal Classification (ASJC) codes
- Applied Mathematics
- Exhaustible resources
- Mean field games