Master Equation for the Finite State Space Planning Problem

Abstract

We present results regarding the existence, regularity and uniqueness of solutions of the master equation associated with the mean field planning problem in the finite state space case, in the presence of a common noise. The results hold under monotonicity assumptions, which are used crucially, in the different proofs of the paper. We also make a link with the trajectories induced by the solution of the master equation and start a discussion on the case of boundary conditions.