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This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an…
We consider a class of targeted intervention problems in dynamic network and graphon games. First, we study a general dynamic network game in which players interact over a graph and maximize their heterogeneous, concave goal functionals,…
Recent advances at the intersection of dense large graph limits and mean field games have begun to enable the scalable analysis of a broad class of dynamical sequential games with large numbers of agents. So far, results have been largely…
We consider a game for a continuum of non-identical players evolving on a finite state space. Their heterogeneous interactions are represented by a graphon, which can be viewed as the limit of a dense random graph. The player's transition…
Graphon games are a class of games with a continuum of agents, introduced to approximate the strategic interactions in large network games. The first result of this study is an equilibrium existence theorem in graphon games, under the same…
We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly by converting the first-order conditions into a coupled…
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 continuous stochastic games with heterogeneous mean field interactions and jumps on large networks and explore their limit counterparts. We introduce the graphon game model based on a controlled graphon mean field stochastic…
This paper focuses on multi-agent stochastic differential games for jump-diffusion systems. On one hand, we study the multi-agent game for optimal investment in a jump-diffusion market. We derive constant Nash equilibria and provide…
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…
Stochastic differential games have been used extensively to model agents' competitions in Finance, for instance, in P2P lending platforms from the Fintech industry, the banking system for systemic risk, and insurance markets. The recently…
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…
This paper investigates a class of linear-quadratic-Gaussian risk-sensitive graphon mean-field games, involving an asymptotically infinite population of heterogeneous agents distributed across an asymptotically infinite network, where each…
In this paper, we propose a numerical methodology for finding the closed-loop Nash equilibrium of stochastic delay differential games through deep learning. These games are prevalent in finance and economics where multi-agent interaction…
We consider network games where a large number of agents interact according to a network sampled from a random network model, represented by a graphon. By exploiting previous results on convergence of such large network games to graphon…
In this paper, we study finite-agent linear-quadratic games on graphs. Specifically, we propose a comprehensive framework that extends the existing literature by incorporating heterogeneous and interpretable player interactions. Compared to…
Multi-agent reinforcement learning, despite its popularity and empirical success, faces significant scalability challenges in large-population dynamic games. Graphon mean field games (GMFGs) offer a principled framework for approximating…
In this paper, we apply the idea of fictitious play to design deep neural networks (DNNs), and develop deep learning theory and algorithms for computing the Nash equilibrium of asymmetric $N$-player non-zero-sum stochastic differential…
This paper studies approximate solutions to large-scale linear quadratic stochastic games with homogeneous nodal dynamics parameters and heterogeneous network couplings within the graphon mean field game framework in [2]-[4]. A graphon…
This paper studies stochastic games on large graphs and their graphon limits. We propose a new formulation of graphon games based on a single typical player's label-state distribution. In contrast, other recently proposed models of graphon…