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• W2891572149 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." @default.
• W2891572149 created "2018-09-27" @default.
• W2891572149 creator A5029654636 @default.
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• W2891572149 date "2020-01-01" @default.
• W2891572149 modified "2023-09-27" @default.
• W2891572149 title "Mean-Field Leader-Follower Games with Terminal State Constraint" @default.
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• W2891572149 doi "https://doi.org/10.1137/19m1241878" @default.
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