  A theory of existence and uniqueness is developed for general stochastic
differential mean field games with common noise. The concepts of strong and
weak solutions are introduced in analogy with the theory of stochastic
differential equations, and existence of weak solutions for mean field games is
shown to hold under very general assumptions. Examples and counter-examples are
provided to enlighten the underpinnings of the existence theory. Finally, an
analog of the famous result of Yamada and Watanabe is derived, and it is used
to prove existence and uniqueness of a strong solution under additional
assumptions.
