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