Mean-field leader-follower games with terminal state constraint

Guanxing Fu, Ulrich Horst

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)

Abstract

We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a convergence result of the solutions with respect to certain perturbations of the drivers of both the forward and the backward component. The general results are used to solve a novel single player model of portfolio liquidation under market impact with expectations feedback as well as a novel Stackelberg game of optimal portfolio liquidation with asymmetrically informed players.

Original languageEnglish
Pages (from-to)2078-2113
Number of pages36
JournalSIAM Journal on Control and Optimization
Volume58
Issue number4
DOIs
Publication statusE-pub ahead of print - 27 Jul 2020

Keywords

  • McKean-vlasov FBSDE
  • Mean-field control
  • Mean-field game with a major player
  • Portfolio liquidation
  • Singular terminal constraint
  • Stackelberg game

ASJC Scopus subject areas

  • Control and Optimization
  • Applied Mathematics

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