A mean field game of optimal portfolio liquidation
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Publication:5026436
DOI10.1287/MOOR.2020.1094zbMATH Open1483.91215arXiv1804.04911OpenAlexW3128871226MaRDI QIDQ5026436FDOQ5026436
Authors: Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier 
Publication date: 8 February 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. We prove that the solution to the MFG can be characterized in terms of a FBSDE with possibly singular terminal condition on the backward component or, equivalently, in terms of a FBSDE with finite terminal value, yet singular driver. Extending the method of continuation to linear-quadratic FBSDE with singular driver we prove that the MFG has a unique solution. Our existence and uniqueness result allows to prove that the MFG with possibly singular terminal condition can be approximated by a sequence of MFGs with finite terminal values.
Full work available at URL: https://arxiv.org/abs/1804.04911
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Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)
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Cited In (26)
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