Mean-Field Leader-Follower Games with Terminal State Constraint
Guanxing Fu and
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Guanxing Fu: HU Berlin
Ulrich Horst: HU Berlin
No 129, Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition
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: mean-field control; stackelberg game; mean-field game with a major player; portfolio liquidation (search for similar items in EconPapers)
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