Stability of backward inverse problems for degenerate mean-field game systems

Abstract

We investigate inverse backward-in-time problems for a class of second-order degenerate Mean-Field Game (MFG) systems. More precisely, given the final datum $(u(\cdot ,T),m(\cdot ,T))$ of a solution to the one-dimensional mean-field game system with a degenerate diffusion coefficient, we aim to determine the intermediate states $(u(\cdot ,t_0),m(\cdot ,t_0))$ for any $t_0\in [0,T)$, i.e., the value function and the mean distribution at intermediate times, respectively. We prove conditional stability estimates under suitable assumptions on the diffusion coefficient and the initial state $(u(\cdot ,0),m(\cdot ,0))$. The proofs are based on Carleman's estimates with a simple weight function. We first prove a Carleman estimate for the Hamilton-Jacobi-Bellman (HJB) equation. A second Carleman estimate will be derived for the Fokker-Planck (FP) equation. Then, by combining the two estimates, we obtain a Carleman estimate for the mean-field game system, leading to the stability of the backward problems.