On the mean field games system with lateral Cauchy data via Carleman estimates

Abstract The second-order mean field games system (MFGS) in a bounded domain with the lateral Cauchy data are considered. This means that both Dirichlet and Neumann boundary data for the solution of the MFGS are given. Two Hölder stability estimates for two slightly different cases are derived. These estimates indicate how stable the solution of the MFGS is with respect to the possible noise in the lateral Cauchy data. Our stability estimates imply uniqueness. The key mathematical apparatus is the apparatus of two new Carleman estimates.