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arXiv · 2202.08163

Propagation of Chaos of Forward-Backward Stochastic Differential Equations with Graphon Interactions

Erhan Bayraktar·Ruoyu Wu·Xin Zhang
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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.

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Erhan Bayraktar, Ruoyu Wu, Xin Zhang. 2022-02-16. Propagation of Chaos of Forward-Backward Stochastic Differential Equations with Graphon Interactions. https://arxiv.org/abs/2202.08163

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