Time Dependent First-Order Mean Field Games with Neumann Boundary Conditions

Abstract: The primary objective of this paper is to understand first-order, time-dependent mean-field games with Neumann boundary conditions, a question that remains under-explored in the literature. This matter is particularly relevant given the importance of boundary conditions in crowd models. In our model, the Neumann conditions result from players entering the domain according to a prescribed current, for instance, in a crowd entry scenario into an open-air concert or stadium. We formulate the model as a standard mean-field game coupling a Hamilton-Jacobi equation with a Fokker-Planck equation. Then, we introduce a relaxed variational problem and use Fenchel-Rockafellar duality to study the relation between these problems. Finally, we prove the existence and uniqueness of solutions for the system using variational methods.