Stochastic Graphon Games: II. The Linear-Quadratic Case

In this paper, we analyze linear-quadratic stochastic differential games with a continuum of players interacting through graphon aggregates, each state being subject to idiosyncratic Brownian shocks. The major technical issue is the joint measurability of the player state trajectories with respect t...

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Veröffentlicht in:	Applied mathematics & optimization Jg. 85; H. 3
Hauptverfasser:	Aurell, Alexander, Carmona, René, Laurière, Mathieu
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.06.2022 Springer Nature B.V
Schlagworte:	Aggregates Applied mathematics Calculus of Variations and Optimal Control; Optimization Control Control theory Differential equations Differential games Equations of state Equilibrium conditions Game theory Macroeconomics Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Maximum principle Numerical and Computational Physics Optimization Players Random variables Simulation Systems Theory Theoretical 60H10 60H20 Exact law of large numbers 91A15 Fubini extensions 91A07 Continuum of players Graphons Stochastic differential games
ISSN:	0095-4616, 1432-0606
Online-Zugang:	Volltext
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