MEAN-FIELD LEADER-FOLLOWER GAMES WITH TERMINAL STATE CONSTRAINT

被引：20

作者：

Fu, Guanxing ^{[1
]}

Horst, Ulrich ^{[2
,3
]}

机构：

[1] Hong Kong Polytech Univ, Dept Appl Math, Hung Hom, Kowloon, Hong Kong, Peoples R China

[2] Humboldt Univ, Dept Math, Unter Linden 6, D-10099 Berlin, Germany

[3] Humboldt Univ, Sch Business & Econ, Unter Linden 6, D-10099 Berlin, Germany

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2020年 / 58卷 / 04期

关键词：

mean-field control; Stackelberg game; mean-field game with a major player; McKean-Vlasov FBSDE; portfolio liquidation; singular terminal constraint; STOCHASTIC DIFFERENTIAL-EQUATIONS; STACKELBERG GAMES; WELL-POSEDNESS; EXECUTION; SYSTEMS; BSDES;

D O I：

10.1137/19M1241878

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：2078 / 2113

页数：36

共 50 条

[1] Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
Lv, Siyu
Xiong, Jie
Zhang, Xin
AUTOMATICA, 2023, 154
[2] Leader-follower mean field LQ games: A direct method
Wang, Bing-Chang
ASIAN JOURNAL OF CONTROL, 2024, 26 (02) : 617 - 625
[3] Mean-Field Type Leader-Follower Stochastic Differential Game with Asymmetric Information
Wang, Yu
PROCEEDINGS OF THE 32ND 2020 CHINESE CONTROL AND DECISION CONFERENCE (CCDC 2020), 2020, : 4544 - 4548
[4] Constrained Deterministic Leader-Follower Mean Field Control
Moller, Lukas
Gentile, Basilio
Parise, Francesca
Grammatico, Sergio
Lygeros, John
2016 AMERICAN CONTROL CONFERENCE (ACC), 2016, : 4687 - 4692
[5] MinMax Mean-Field Team Approach for a Leader-Follower Network: A Saddle-Point Strategy
Baharloo, Mohammad M.
Arabneydi, Jalal
Aghdam, Amir G.
IEEE CONTROL SYSTEMS LETTERS, 2020, 4 (01): : 121 - 126
[6] ALGORITHMS FOR LEADER-FOLLOWER GAMES.
Papavassilopoulos, George P.
Proceedings - Annual Allerton Conference on Communication, Control, and Computing, 1980, : 851 - 859
[7] Leader-Follower Formation for UAVs with FOVs Constraint
Yu, Chengxi
Chen, Xi
2021 22ND IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL TECHNOLOGY (ICIT), 2021, : 1119 - 1124
[8] Frustration, aggression, and anger in leader-follower games
Battigalli, Pierpaolo
Dufwenberg, Martin
Smith, Alec
GAMES AND ECONOMIC BEHAVIOR, 2019, 117 : 15 - 39
[9] A note on forward contracts in leader-follower games
Bonacina, Monica
Creti, Anna
ECONOMICS BULLETIN, 2010, 30 (02): : 1539 - 1547
[10] OPTIMAL INCENTIVE STRATEGY FOR LEADER-FOLLOWER GAMES
LIU, XP
ZHANG, SY
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1992, 37 (12) : 1957 - 1961

← 1 2 3 4 5 →