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This paper studies stochastic games on large graphs and their graphon limits. We propose a new formulation of graphon games based on a single typical player’s label-state distribution. In contrast, other recently proposed models of graphon games work directly with a continuum of players, which involves serious measure-theoretic technicalities. In fact, by viewing the label as a component of the state process, we show in our formulation that graphon games are a special case of mean field games, albeit with certain inevitable degeneracies and discontinuities that make most existing results on mean field games inapplicable. Nonetheless, we prove the existence of Markovian graphon equilibria under fairly general assumptions as well as uniqueness under a monotonicity condition. Most importantly, we show how our notion of graphon equilibrium can be used to construct approximate equilibria for large finite games set on any (weighted, directed) graph that converges in cut norm. The lack of players’ exchangeability necessitates a careful definition of approximate equilibrium, allowing heterogeneity among the players’ approximation errors, and we show how various regularity properties of the model inputs and underlying graphon lead naturally to different strengths of approximation. Funding: D. Lacker was partially supported by the Air Force Office of Scientific Research [Grant FA9550-19-1-0291] and the National Science Foundation [Award DMS-2045328]. 

We study a class of linear-quadratic stochastic differential games in which each player interacts directly only with its nearest neighbors in a given graph. We find a semiexplicit Markovian equilibrium for any transitive graph, in terms of the empirical eigenvalue distribution of the graph’s normalized Laplacian matrix. This facilitates large-population asymptotics for various graph sequences, with several sparse and dense examples discussed in detail. In particular, the mean field game is the correct limit only in the dense graph case, that is, when the degrees diverge in a suitable sense. Although equilibrium strategies are nonlocal, depending on the behavior of all players, we use a correlation decay estimate to prove a propagation of chaos result in both the dense and sparse regimes, with the sparse case owing to the large distances between typical vertices. Without assuming the graphs are transitive, we show also that the mean field game solution can be used to construct decentralized approximate equilibria on any sufficiently dense graph sequence.