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
收藏
页码：2078 / 2113
页数：36
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