Caballero–Engel meet Lasry–Lions: A uniqueness result

Abstract

In a Mean Field Game (MFG) each decision maker cares about the cross sectional distribution of the state and the dynamics of the distribution is generated by the agents’ optimal decisions. We prove the uniqueness of the equilibrium in a class of MFG where the decision maker controls the state at optimally chosen times. This setup accommodates several problems featuring non-convex adjustment costs, and complements the well known drift-control case studied by Lasry–Lions. Examples of such problems are described by Caballero and Engel in several papers, which introduce the concept of the generalized hazard function of adjustment. We extend the analysis to a general “impulse control problem” by introducing the concept of the “Impulse Hamiltonian”. Under the monotonicity assumption (a form of strategic substitutability), we establish the uniqueness of equilibrium. In this context, the Impulse Hamiltonian and its derivative play a similar role to the classical Hamiltonian that arises in the drift-control case.