Arbeitspapier
Mean-field leader-follower games with terminal state constraint
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
- Language
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Englisch
- Bibliographic citation
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Series: Discussion Paper ; No. 129
- Classification
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Wirtschaft
- Subject
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mean-field control
Stackelberg game
mean-field game with a major player
McKean-Vlasov FBSDE
portfolio liquidation
singular terminal constraint
- Event
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Geistige Schöpfung
- (who)
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Fu, Guanxing
Horst, Ulrich
- Event
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Veröffentlichung
- (who)
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Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
- (where)
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München und Berlin
- (when)
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2018
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fu, Guanxing
- Horst, Ulrich
- Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
Time of origin
- 2018
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