Ergodic Problems for Second-Order Mean Field Games with State Constraints

Abstract: We study an ergodic mean field game problem with state constraints. In our model the agents are affected by idiosyncratic noise and use a (singular) feedback control to prevent the Brownian motion from exiting the domain. We characterize the equilibrium as the (possibly unique) solution to a second-order MFG system, where the value function blows up at the boundary while the density of the players is smooth and flattens near the boundary as a consequence of the singularity of the drift induced by the feedback strategy of the agents.