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 language | English |
|---|---|
| Pages (from-to) | 2078-2113 |
| Number of pages | 36 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 58 |
| Issue number | 4 |
| DOIs | |
| Publication status | E-pub ahead of print - 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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