Related papers: A case study on stochastic games on large graphs i…
The stochastic Kuramoto model defined on a sequence of graphs is analyzed: the emphasis is posed on the relationship between the mean field limit, the connectivity of the underlying graph and the long time behavior. We give an explicit…
In this paper, we analyze linear-quadratic stochastic differential games with a continuum of players interacting through graphon aggregates, each state being subject to idiosyncratic Brownian shocks. The major technical issue is the joint…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
We propose an approach to modelling large-scale multi-agent dynamical systems allowing interactions among more than just pairs of agents using the theory of mean field games and the notion of hypergraphons, which are obtained as limits of…
We consider static finite-player network games and their continuum analogs, graphon games. Existence and uniqueness results are provided, as well as convergence of the finite-player network game optimal strategy profiles to their analogs…
We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unbounded and there are also presence of cross terms in the…
We consider a general interacting particle system with interactions on a random graph, and study the large population limit of this system. When the sequence of underlying graphs converges to a graphon, we show convergence of the…
The existence of stationary Markov perfect equilibria in stochastic games is shown under a general condition called "(decomposable) coarser transition kernels". This result covers various earlier existence results on correlated equilibria,…
We propose a discrete time graphon game formulation on continuous state and action spaces using a representative player to study stochastic games with heterogeneous interaction among agents. This formulation admits both philosophical and…
In this paper we give a broad overview of the intersection of partial differential equations (PDEs) and graph-based semi-supervised learning. The overview is focused on a large body of recent work on PDE continuum limits of graph-based…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
In this paper, we present a unifying framework for analyzing equilibria and designing interventions for large network games sampled from a stochastic network formation process represented by a graphon. We first introduce a new class of…
We study how the structure of the interaction graph of a game affects the existence of pure Nash equilibria. In particular, for a fixed interaction graph, we are interested in whether there are pure Nash equilibria arising when random…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…
Focusing on stochastic systems arising in mean-field models, the systems under consideration belong to the class of switching diffusions, in which continuous dynamics and discrete events coexist and interact. The discrete events are modeled…
In this paper we study stochastic dynamic games with many players; these are a fundamental model for a wide range of economic applications. The standard solution concept for such games is Markov perfect equilibrium (MPE), but it is well…
We study a sequence of symmetric $n$-player stochastic differential games driven by both idiosyncratic and common sources of noise, in which players interact with each other through their empirical distribution. The unique Nash equilibrium…
We propose a new approach to mean field games with major and minor players. Our formulation involves a two player game where the optimization of the representative minor player is standard while the major player faces an optimization over…
We consider mean field games with discrete state spaces (called discrete mean field games in the following) and we analyze these games in continuous and discrete time, over finite as well as infinite time horizons. We prove the existence of…
Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…