Regularity for Weak Solutions to First-Order Local Mean Field Games

Abstract: We establish interior regularity results for first-order, stationary, local mean-field game (MFG) systems. Specifically, we study solutions of the coupled system consisting of a Hamilton-Jacobi-Bellman equation $H(x, Du, m) = 0$ and a transport equation $-\operatorname{div}(m D_pH(x, Du, m)) = 0$ in a domain $\Omega \subset \mathbb{R}^d$. Under suitable structural assumptions on the Hamiltonian $H$, without requiring monotonicity of the system, convexity of the Hamiltonian, separability in variables, or smoothness beyond basic continuity in $(p,m)$, we introduce a notion of weak solutions that allows the application of techniques from elliptic regularity theory. Our main contribution is to prove that the value function $u$ is locally H\"older continuous in $\Omega$. The proof leverages the connection between first-order MFG systems and quasilinear equations in divergence form, adapting classical techniques to handle the specific structure of MFG systems.