A strongly degenerate fully nonlinear mean field game with nonlocal diffusion

There are few results on mean field game (MFG) systems where the PDEs are either fully nonlinear or have degenerate diffusions. This paper introduces a problem that combines both difficulties. We prove existence and uniqueness for a strongly degenerate, fully nonlinear MFG system by using the well-posedness theory for fully nonlinear MFGs established in our previous paper [23]. It is the first such application in a degenerate setting. Our MFG involves a controlled pure jump (nonlocal) Lévy diffusion of order less than one, and monotone, smoothing couplings. The key difficulty is obtaining uniqueness for the corresponding Fokker–Planck equation which has degenerate, non-Lipschitz, and low regularity diffusion coefficients: since the regularity of the coefficient and the order of the diffusion are interdependent, it holds when the order is sufficiently low. Viscosity solutions and a non-standard doubling of variables argument are used along with a bootstrapping procedure.