Short-Time Existence for a General Backward–Forward Parabolic System Arising from Mean-Field Games

Abstract

We study the local in time existence of a regular solution of a nonlinear parabolic backward–forward system arising from the theory of mean-field games (briefly MFG). The proof is based on a contraction argument in a suitable space that takes account of the peculiar structure of the system, which involves also a coupling at the final horizon. We apply the result to obtain existence to very general MFG models, including also congestion problems.