Extended Graphon Mean-Field Games in Discrete Time

RESUMO

In this paper, we study games involving a continuum of heterogeneous players in the discrete-time setting with finite state spaces and continuous action spaces. We introduce a new model that incorporates joint state-action interactions within the graphon-weighted aggregate, described by a coupled forward-backward system. We establish the existence of graphon mean-field equilibria and characterize them through this forward-backward system. Additionally, we provide uniqueness results under monotonicity and contraction conditions. To illustrate the practical relevance of our framework, we solve an example of portfolio liquidation with price impact. We provide numerical results for three different graphons and two different initial distributions, illustrating the impact of the network's structure and the distribution heterogeneity on the distribution and the policy.