  In this paper we study mean field games with possibly multiple mean field
equilibria. Instead of focusing on the individual equilibria, we propose to
study the set of values over all possible equilibria, which we call the set
value of the mean field game. When the mean field equilibrium is unique,
typically under certain monotonicity conditions, our set value reduces to the
singleton of the standard value function which solves the master equation. The
set value is by nature unique, and we shall establish two crucial properties:
(i) the dynamic programming principle, also called time consistency; and (ii)
the convergence of the set values of the corresponding $N$-player games, which
can be viewed as a type of stability result. To our best knowledge, this is the
first work in the literature which studies the dynamic value of mean field
games without requiring the uniqueness of mean field equilibria. We emphasize
that the set value is very sensitive to the type of the admissible controls. In
particular, for the convergence one has to restrict to corresponding types of
equilibria for the N-player game and for the mean field game. We shall
illustrate this point by investigating three cases, two in finite state space
models and the other in a continuous time model with controlled diffusions.
