Mean-Field Leader-Follower Games with Terminal State Constraint
Mathematical Finance
2018-09-13 v1
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.
Keywords
Cite
@article{arxiv.1809.04401,
title = {Mean-Field Leader-Follower Games with Terminal State Constraint},
author = {Guanxing Fu and Ulrich Horst},
journal= {arXiv preprint arXiv:1809.04401},
year = {2018}
}