Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
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Abstract: In this paper, we study graphon mean field games using a system of forward-backward stochastic differential equations. We establish the existence and uniqueness of solutions under two different assumptions and prove the stability with respect to the interacting graphons which are necessary to show propagation of chaos results. As an application of propagation of chaos, we prove the convergence of n-player game Nash equilibrium for a general model, which is new in the theory of graphon mean field games.
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Cited in
(15)- On the graphon mean field game equations: individual agent affine dynamics and mean field dependent performance functions
- Optimal investment in a large population of competitive and heterogeneous agents
- Non-parametric estimates for graphon mean-field particle systems
- Nonlinear graphon mean-field systems
- Linear-quadratic graphon mean field games with common noise
- A deep learning method for optimal investment under relative performance criteria among heterogeneous agents
- Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures
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- Inverse graph limit problem of the graphon multi-agent systems
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