We consider mean field game systems in time-horizon (0,T), where the individual cost depends locally on the density distribution of the agents, and the Hamiltonian is locally uniformly convex. We show that, even if the coupling cost functions are mildly non-monotone, then the system is still well posed due to the effect of individual noise. The rate of anti-monotonicity (the aggregation rate of the cost function) which can be afforded depends on the intensity of the diffusion and on global bounds of solutions. We give applications to either globally Lipschitz Hamiltonians or quadratic Hamiltonians and couplings having mild growth.
Under similar conditions, we give a complete description of the ergodic and long time properties of the system. In particular we prove: (i) the turnpike property of solutions in the finite (long) horizon (0,T), (ii) the convergence of the system from (0,T) towards (0,\infty), (iii) the vanishing discount limit of the infinite horizon problem and the long time convergence towards the ergodic stationary solution.
We extend previous results which were known only for the case of monotone and smoothing couplings; our approach is self-contained and does not need the use of the linearized system or of the master equation.