A mean field game of optimal portfolio liquidation
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Publication:5026436
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.
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Cited in
(26)- Mean-field leader-follower games with terminal state constraint
- Extended Mean Field Games with Singular Controls
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
- Mean field portfolio games
- Portfolio liquidation under factor uncertainty
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- Trading with the crowd
- Mean-Field Game Strategies for Optimal Execution
- Optimal Execution: A Review
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- Mean field game of controls and an application to trade crowding
- Equilibrium price formation with a major player and its mean field limit
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