Authors:
Fu, Guanxing (HU Berlin)
Horst, Ulrich (HU Berlin)
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:
mean-field control; stackelberg game; mean-field game with a major player; portfolio liquidation