This was part of Applications to Financial Engineering
Stochastic Dynamic Graphon Games The Linear-Quadratic Case
Alexander Aurell, Princeton University
Wednesday, December 8, 2021
Abstract: I will introduce a form of linear-quadratic stochastic differential games with a continuum of players: the graphon game. Graphon games generalizes mean field games as the setup does not require all players to interact through a common mean-field term. Instead, each player has their private "mean-field like" aggregation term, formed as a graphon aggregate. Focal points of the talk will be some technical issues with the setup relating to is the joint measurability of the player state trajectories with respect to samples and player labels; the ability to approximate equilibrium behavior in games with finitely many players over graphs with random weights; and dynamic finite-state graphon games with applications toward epidemiology.