Time-dependent mean-field games in the superquadratic case

We investigate time-dependent mean-field games with superquadratic Hamiltonians and a power dependence on the measure. Such problems pose substantial mathematical challenges as key techniques used in the subquadratic case, which was studied in a previous publication of the authors, do not extend to the superquadratic setting. The main objective of the present paper is to address these difficulties. Because of the superquadratic structure of the Hamiltonian, Lipschitz estimates for the solutions of the Hamilton−Jacobi equation are obtained here through a novel set of techniques. These explore the parabolic nature of the problem through the nonlinear adjoint method. Well-posedness is proven by combining Lipschitz regularity for the Hamilton−Jacobi equation with polynomial estimates for solutions of the Fokker−Planck equation. Existence of classical solutions is then established under conditions depending only on the growth of the Hamiltonian and the dimension. Our results also add to current understanding of superquadratic Hamilton−Jacobi equations.