Convex ordering for graphon mean-field systems

Abstract

We establish marginal and functional convex order comparisons for graphon mean-field systems on ${\mathbb{R}}^d$, including the infinite-horizon setting. A key difficulty is that convex order cannot in general be transferred through the usual particle approximation, which requires us to work directly with Euler schemes for the graphon mean-field system. Under a suitable dissipativity condition, we establish Euler approximation estimates that are uniform in both time and the agent label, and combine them with forward-backward induction arguments to obtain the convex order comparisons. For the infinite-horizon problem, dissipativity provides the required uniform-in-time stability, while an exponentially weighted $L^2$-space enables trajectory-level convergence and leads to the functional convex order on $[0,\infty )$. As an application, we derive value-function comparisons for a class of one-dimensional linear-quadratic graphon mean-field games.