Mean-Field Leader-Follower Games with Terminal State Constraint

Fu, Guanxing und Horst, Ulrich (20. Dezember 2018): Mean-Field Leader-Follower Games with Terminal State Constraint. Collaborative Research Center Transregio 190, Discussion Paper No. 129

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.

• Dokumententyp: Paper
• Fakultät: Volkswirtschaft > Collaborative Research Center Transregio "Rationality and Competition"
• Themengebiete: 300 Sozialwissenschaften > 330 Wirtschaft
• Sprache: Englisch