Propagation of chaos of forward-backward stochastic differential equations with graphon interactions

DOI10.1007/S00245-023-09996-YzbMath1520.91047arXiv2202.08163MaRDI QIDQ6166252

Erhan Bayraktar, Ruoyu Wu, Xin Zhang

Publication date: 6 July 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.08163

zbMATH Keywords

propagation of chaosFBSDElarge population gamesconvergence of Nash equilibriumgraphon mean field games

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Applications of stochastic analysis (to PDEs, etc.) (60H30) Mean field games (aspects of game theory) (91A16)

Related Items (1)

Optimal investment in a large population of competitive and heterogeneous agents

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergent sequences of dense graphs. II. Multiway cuts and statistical physics
• A general characterization of the mean field limit for stochastic differential games
• Mean field games. I: The stationary case
• Limits of dense graph sequences
• Weak existence and uniqueness for forward-backward SDEs
• Mean field games. II: Finite horizon and optimal control
• Convergent sequences of dense graphs. I: Subgraph frequencies, metric properties and testing
• Mean field games
• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
• Solution of forward-backward stochastic differential equations
• Probabilistic approach to finite state mean field games
• Convergence, fluctuations and large deviations for finite state mean field games via the master equation
• Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
• Stationarity and uniform in time convergence for the graphon particle system
• An example of multiple mean field limits in ergodic differential games
• Selection of equilibria in a linear quadratic mean-field game
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• Weak solutions for forward-backward SDEs-a martingale problem approach
• Finite state mean field games with Wright-Fisher common noise
• On the convergence of closed-loop Nash equilibria to the mean field game limit
• Stochastic graphon games. II: The linear-quadratic case
• On non-uniqueness in mean field games
• The Master Equation and the Convergence Problem in Mean Field Games
• Analysis of a Finite State Many Player Game Using Its Master Equation
• Weak Solutions of Forward–Backward SDE's
• Graphon Mean Field Games and Their Equations
• Stochastic Graphon Games: I. The Static Case
• Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls
• Forward-backward stochastic differential equations with mixed initial-terminal conditions
• On the Convergence Problem in Mean Field Games: A Two State Model without Uniqueness
• Backward Stochastic Differential Equations
• Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria
• Probabilistic Theory of Mean Field Games with Applications I
• Probabilistic Theory of Mean Field Games with Applications II
• Measure Theory
• Thek-Core and Branching Processes
• On the Graphon Mean Field Game equations: Individual agent affine dynamics and mean field dependent performance functions
• Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games

This page was built for publication: Propagation of chaos of forward-backward stochastic differential equations with graphon interactions