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

DOI10.1007/S00245-023-09996-YzbMATH Open1520.91047arXiv2202.08163MaRDI QIDQ6166252FDOQ6166252

Authors: Erhan Bayraktar, Ruoyu Wu, Xin Zhang 

Publication date: 6 July 2023

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

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.

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

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zbMATH Keywords

propagation of chaosFBSDElarge population gamesconvergence of Nash equilibriumgraphon mean field games

Mathematics Subject Classification ID

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

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Cited In (1)

• Optimal investment in a large population of competitive and heterogeneous agents

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