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

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