Mean-Field Leader-Follower Games with Terminal State Constraint

Guanxing Fu and Ulrich Horst

Papers from arXiv.org

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.

Date: 2018-09
New Economics Papers: this item is included in nep-exp and nep-gth
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Citations: View citations in EconPapers (17)

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