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Stefanos Theodorakopoulos

Publications and source records attributed to Stefanos Theodorakopoulos.

5 recordsLinked to original sources
arXiv2026

Mean-field games with rough common noise: the linear-quadratic case

Motivated by mean-field games (MFG) with common noise on the one hand and pathwise stochastic control theory on the other, we formulate here a linear-quadratic (LQ) MFG with rough common noise, along with a satisfactory well-posedness theory for the linear-quadratic case. A novel Volterra-type (or mild) formulation allows to keep technical (rough-stochastic) consideration to a minimum. We derive a characterization of the optimal state and optimal control through a rough forward-backward SDE (rough FBSDE), and provide an existence and uniqueness result under the usual assumptions. Our theory is accompanied by stability estimates with respect to initial data and common noise while we also establish continuity of what we call the Itô-Lions-Lyons map for rough mean-field games. Finally, we discuss randomization of the rough common noise under appropriate conditions on the coefficients. When the latter is given by the Stratonovich lift of a Brownian motion independent of the idiosyncratic noise, we show that solutions of the rough LQ MFG coincide with those obtained by conditioning on the common noise.

math.PR↗
arXiv2025

Stability of backward propagation of chaos

The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for example, a sequence of discrete-time martingales converging to a continuous-time limit, and a system of mean-field BSDEs that satisfies the backward propagation of chaos, i.e. converges to a sequence of i.i.d. McKean-Vlasov BSDEs. Then, we say that the backward propagation of chaos is stable if the system of mean-field BSDEs driven by the discrete-time martingales converges to the sequence of McKean-Vlasov BSDEs driven by the continuous-time limit. We consider the convergence scheme of the backward propagation of chaos as the image of the corresponding data set under which this scheme is established. Then, using an appropriate notion of convergence for data sets, we are able to show a variety of continuity properties for this functional point of view. Along the way, we also provide stability results for mean-field and McKean-Vlasov BSDEs, which are of interest in their own right, for numerical approximations of these equations.

math.PR↗
arXiv2024

Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs

We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interactions in their generators in a general setting, where the drivers are square-integrable martingales, with a focus on the independent increments case, and the filtrations are (possibly) stochastically discontinuous. In other words, we consider discrete- and continuous-time systems of mean-field BSDEs and McKean-Vlasov BSDEs in a unified setting. We provide existence and uniqueness results for these BSDEs using new a priori estimates that utilize the stochastic exponential. Then, we provide propagation of chaos results for systems of particles that satisfy BSDEs, i.e. we show that the asymptotic behaviour of the solutions of mean-field systems of BSDEs, as the multitude of the systems grows to infinity, converges to I.I.D solutions of McKean-Vlasov BSDEs. We introduce a new technique for showing the backward propagation of chaos, that makes repeated use of the a priori estimates, inequalities for the Wasserstein distance and the ``conservation of solutions'' under different filtrations, and does not demand the solutions of the mean field systems to be exchangeable or symmetric. Finally, we deduce convergence rates for the propagation of chaos, under advanced integrability conditions on the solutions of the BSDEs.

math.PR↗
arXiv2024

Some sharp lower bounds for the bipartite Turán number of theta graphs

We expand Conlon's random algebraic construction to show that for any odd number $k \geq 3$ exists a natural number $c_k$ (the same as Conlon's) such that $\operatorname{ex}(n^a,n,θ_{k,c_k}) = Ω_{k,a}((n^{1 + a})^{\frac{k + 1}{2k}})$, with $a \in [\frac{k - 1}{k + 1}, 1)$. Where given a graph $H$, we denote by $\operatorname{ex}(n,m,H)$ the maximum number of edges an $H-$free bipartite graph can have when the cardinalities of its parts are $n$ and $m$. Also, we denote with $θ_{k,l}$ the graph where two vertices are connected through $l$ disjoint paths of length $k$.

math.CO↗