The formulation of Mean Field Games (MFG) via partial differential equations typically requires continuous differentiability of the Hamiltonian in order to determine the advective term in the Kolmogorov--Fokker--Planck equation for the density of players. However, in many cases of practical interest, the underlying optimal control problem may exhibit bang-bang controls, which typically lead to nondifferentiable Hamiltonians. In this talk we will present results on the analysis and numerical approximation of stationary second-order MFG systems for the general case of convex, Lipschitz, but possibly nondifferentiable Hamiltonians. In particular, we will propose a generalization of the MFG system as a Partial Differential Inclusion (PDI) based on interpreting the derivative of the Hamiltonian in terms of subdifferentials of convex functions. We present results that guarantee the existence of unique weak solutions to the stationary MFG PDI under a monotonicity condition similar to one that has been considered previously by Lasry and Lions. Moreover, we will propose a monotone finite element discretization of the weak formulation of the MFG PDI, and present results that confirm the strong H^1-norm convergence of the approximations to the value function and strong L^q-norm convergence of the approximations to the density function. The performance of the numerical method will be illustrated in experiments featuring nonsmooth solutions. This talk is based on joint work with my supervisor Iain Smears.
