Stochastic Graphon Games with Jumps and Approximate Nash Equilibria
37 Pages Posted: 18 Apr 2023 Last revised: 3 Aug 2023
Date Written: April 7, 2023
We study continuous stochastic games with inhomogeneous mean field interactions on large networks and explore their graphon limits. We consider a model with a continuum of players, where each player's dynamics involve not only mean field interactions but also individual jumps induced by a Poisson random measure. We examine the case of controlled dynamics, with control terms present in the drift, diffusion, and jump components. We introduce the graphon game model based on a graphon controlled stochastic differential equation (SDE) system with jumps, which can be regarded as the limiting case of a finite game's dynamic system as the number of players goes to infinity. Under some general assumptions, we establish the existence and uniqueness of Markovian graphon equilibria. We then provide convergence results on the state trajectories and their laws, transitioning from finite game systems to graphon systems. We also study approximate equilibria for finite games on large networks, using the graphon equilibrium as a benchmark. The rates of convergence are analyzed under various underlying graphon models and regularity assumptions.
Keywords: Graphons, mean field games, jump measures, heterogenous interactions, controlled dynamics, approximate Nash equilbria
JEL Classification: C02
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