A Case Study on Stochastic Games on Large Graphs in Mean Field and Sparse Regimes
From MaRDI portal
Publication:5085151
DOI10.1287/MOOR.2021.1179zbMATH Open1489.91017arXiv2005.14102OpenAlexW3209096915MaRDI QIDQ5085151FDOQ5085151
Publication date: 27 June 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: We study a class of linear-quadratic stochastic differential games in which each player interacts directly only with its nearest neighbors in a given graph. We find a semi-explicit Markovian equilibrium for any transitive graph, in terms of the empirical eigenvalue distribution of the graph's normalized Laplacian matrix. This facilitates large-population asymptotics for various graph sequences, with several sparse and dense examples discussed in detail. In particular, the mean field game is the correct limit only in the dense graph case, i.e., when the degrees diverge in a suitable sense. Even though equilibrium strategies are nonlocal, depending on the behavior of all players, we use a correlation decay estimate to prove a propagation of chaos result in both the dense and sparse regimes, with the sparse case owing to the large distances between typical vertices. Without assuming the graphs are transitive, we show also that the mean field game solution can be used to construct decentralized approximate equilibria on any sufficiently dense graph sequence.
Full work available at URL: https://arxiv.org/abs/2005.14102
Recommendations
- Stochastic graphon games. I: The static case
- Stochastic games on a graph
- Mean field games: A toy model on an Erdös-Renyi graph.
- Stochastic games for distributed players on graphs.
- The complexity of solving stochastic games on graphs
- Stochastic equilibria on graphs, I
- A class of stochastic games with infinitely many interacting agents related to Glauber dynamics on random graphs
- A model problem for mean field games on networks
- Stochastic graphon games. II: The linear-quadratic case
- Stochastic equilibria on graphs. II
Stochastic games, stochastic differential games (91A15) Games involving graphs (91A43) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Concentration inequalities. A nonasymptotic theory of independence
- Mean field games
- Continuous-time stochastic control and optimization with financial applications
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Controlled Markov processes and viscosity solutions
- Strong solutions of stochastic equations with singular time dependent drift
- Symmetric Random Walks on Groups
- Title not available (Why is that?)
- ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
- The expected eigenvalue distribution of a large regular graph
- Resolvent of large random graphs
- The Master Equation and the Convergence Problem in Mean Field Games
- On the asymmetry of random regular graphs and random graphs
- Probabilistic Theory of Mean Field Games with Applications II
- Weakly interacting particle systems on inhomogeneous random graphs
- Mean field games: A toy model on an Erdös-Renyi graph.
- The nonlinear heat equation on dense graphs and graph limits
- Riccati matrix differential equations and non-oscillation criteria for associated linear differential systems
- Universality of the mean-field for the Potts model
- Directed chain stochastic differential equations
- A law of large numbers and large deviations for interacting diffusions on Erdős–Rényi graphs
- A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning
- Interacting diffusions on random graphs with diverging average degrees: hydrodynamics and large deviations
Cited In (4)
This page was built for publication: A Case Study on Stochastic Games on Large Graphs in Mean Field and Sparse Regimes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085151)
