Action

• Last of Us
• God Of war
• Uncharted
• Horizon (series)
• Ghost of Tsushima
• Shadow of the colossus
• Spiderman
• Infamous
• Medievil
• Sunset Overdrive
• The Last Guardian
• The Getaway
• Gravity Rush
• Ico
• Fat Princess
• Alundra
• Days Gone 
• Genji day of the blade 
• Heavenly Sword
• Order 1886
• Primal
• Overboard
• Roscoe Mcqueen
• O.D.T (Or Die Trying)
• Assault Rigs
• Concrete Genie
• Dark Mist
• Death Stranding
• Dogs Life
• Drakan
• Eat Them
• Gangs of London
• Hermie Hopperhead
• Hidden Agenda
• Kingsley's Adventure
• Kung Fu RIder
• Lair
• Pain
• Rise of the Kasai
• Snakeball
• Stormland
• Team Buddies
• The Mark of Kri
• The Tomorrow Children
• Tokyo Jungle

Adventure

• Datura
• Deracine
• Detroit Become Human
• Doki Doki Universe
• Everybody's Gone to the Rapture
• Flower
• Journey
• Rain
• The Unfinished Swan
• What remains of Edith Finth
• Wild

RPG

• Legend Of Dragoon
• Legend of Legaia
• Demon Souls
• Arc The Lad
• Everquest
• Dark Cloud
• White Knight CHronicles
• Soul Sacrifice
• Freedom Wars
• Wild Arms
• Oreshika:Tainted Bloodlines
• Rogue Galaxy
• Beyond the Beyond
• Bloodborne
• Destiny of Spirits
• Dual Hearts
• Folklore
• Jeanne D Arc
• Kingdom of Paradise
• Monster Kingdom
• Okage Shadow King
• Popolocrois
• Tsugunai
• Untold Legends

Racing 

• Gran Turismo
• Motorstorm
• Kinectica
• Jet Moto
• Wipeout
• Xtreme
• Motor Toon Grand Prix
• Tourist Trophy
• Rally Cross
• ATV : Offroad Fury (series)
• Modnation Racers
• LittlebigPlanet Karting
• Driveclub
• Rapid racer
• Rollcage
• Downhill Domination
• Jet X20
• Speed Freaks
• Toy Home

Shooting

• Killzone
• Resistance
• Socom
• Syphon Filter
• Mag
• Unit 13
• Warhawk
• Krazy Ivan
• Blasto
• Life Force Tenka
• C12 The Final Resistance 
• Ghost Hunter 
• Alienation
• Blast Factor
• Crime Crackers
• Drawn to Death
• Epidemic
• Fuse
• Kileak
• Matterfall
• Philosoma
• Returnal
• Starhawk
• Tanarus
• Tiny Tank

Platformer

• Ratchet and Clank
• Ape Escape
• Sly Cooper
• Jak and Daxter
• Shadow of the Beast
• Knack
• TearAway
• LocoRoco
• Bound
• Jinx
• Jumping Flash
• Puppeteer
• Rascal
• Skyblazer
• Tomba!

Shoot em up

• Dead Nation
• Helldivers
• Resogun
• Retro force
• Super Stardust

Horror

• Siren
• Until Dawn
• Ecstatica
• extermination
• Lifeline
• Rule of Rose

Fighting

• Playstation All-Stars Battle Royale(2D)
• Bleach : Blade Battlers(Arena)
• War of the Monsters(Arena)
• Battle Arena Toshinden (3D)
• Cardinal Syn (3D)
• Reality Fighters
• The Con
• When Vikings Attack!

Sports

• Cool boarders
• Everybody's Golf
• MLB: The Show
• Desi Adda
• Grind Session
• Hustlekings
• Skydiving
• This is Football
• Top Darts
• World Tour Soccer

Music

• Parappa the rapper
• SingStar
• Vib-Ribbon
• Patapon
• Beats
• Bust a groove
• Everybody Dance
• Entwined
• Frequency
• Sound Shapes
• Um Jammer Lammy

Vehicular combat

• Twisted Metal
• Pursuit Force
• G Police
• Colony Wars
• Destruction derby(series)
• Steel Reign
• Calling All Cars
• Dropship United Peaceforce
• Fired Up
• Hardware Online Arena
• Skygunner

Rail Shooter

• Omega Boost
• Sewer Shark
• The Shoot

Stealth

• Mister Mosquito
• Counter Spy

Game Creation

• Little Big Planet
• Dreams

Puzzle

• Intellegent Cube
• Kula World 
• Lemmings
• echochrome
• Devil Dice
• Echo Shift
• Escape Plan
• Fantavision
• Murasaki Baby
• Numblast
• Piyotoma
• Super Rub a Dub
• The Trials of Topoq
• Trash Panic

Beat em up

• Jet Li Rise of Honor

Point and Click

• Aconcagua
• Eastern Mind

Simulation

• Afrika
• Ecolibrium
• Flow

Party

• Carnival Island
• Jungle Party
• My Street
• Start the Party
• TV Superstars

Run and Gun

• Rapid Reload

Metroidvania

• Song of the Deep

Other

• Buzz
• Gun Parade March
• Little deviants
• detuned
• Diggs Night crawler
• Edge of Nowhere
• Hohokum
• Linger in SHadows
• No escape
• Savage Moon
• Sorcery
• The Eye of Judgement
• The last Guy
• Tori Emaki
• Toro Inoue
• What did I do to deserve this, My Lord?
• Wonderbook

VR Games

• Vr Worlds
• Astrobot
• Blood and Truth
• Farpoint
• Firewall Zero Hour
• Iron Man VR
• Rigs

Waiting for more IP they create and own

Remind me some If I missed any to add OP?

I would say any exclusive released after PS3 launch is likely an owned IP from Sony.
Just to remind the reason why Insomniac gone for MS to pay for the development of Sunset Overdrive is because Sony police is that if they fund the game they own the IP, but MS was satisfied with having the exclusivity for that title. If they applied that to Insomniac that was a partner for several gens I guess they done the same for all other.

From quick glance you missed one title from Polyphon Digital Motor Toon Grandprix (I guess they still own it), Omega Boost and Tourist Trophy. Missed the great Syphon Filter, Parapa the Rapper and so many other niche titles.

From a look at this page most would be their IP https://en.wikipedia.org/wiki/Category:Sony_Interactive_Entertainment_franchises

Done, I didn't add few sports like I didn't for Microsoft either.

You forgot Uncharted too :o

Added , I can't believe I forgot that?

LoD being the first RPG on the list makes me really happy XD

Omega Boost is the best game Sony ever made.

I thought you would complain it isn`t on its own cathegory.

Can you believe I never heard before checking for this thread the PD game he forgot (Trophy Tourism), didn`t know the name of that first IP and when I saw Omega Boost I thought it was a Kojima Game PD helped with graphics.