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  1. Mean-field leader-follower games with terminal state constraint
    Author: Fu, Guanxing; Horst, Ulrich
    Published: 2018
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    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... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 553
    Inter-library loan:
    No inter-library loan

     

    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

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/194025
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 129 (December 20, 2018)
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Portfolio liquidation games with self-exciting order flow
    Author: Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
    Published: [2022]
    Publisher:  Collaborative Research Center Transregio 190, [München]

    We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 553
    Inter-library loan:
    No inter-library loan

     

    We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price impact. Given the strategies of her competitors each player solves a mean-field control problem. We characterize open-loop Nash equilibria in both games in terms of a novel mean-field FBSDE system with unknown terminal condition. Under a weak interaction condition we prove that the FBSDE systems have unique solutions. Using a novel sufficient maximum principle that does not require convexity of the cost function we finally prove that the solution of the FBSDE systems do indeed provide open-loop Nash equilibria.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/256794
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 327 (May 5, 2022)
    Subjects: stochastic games; mean-field games; portfolio liquidation; Hawkes process; singular terminal value
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Mean field games with singular controls
    Author: Fu, Guanxing; Horst, Ulrich
    Published: 2017
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    This paper establishes the existence of relaxed solutions to mean eld games (MFGs for short) with singular controls. As a by-product, we obtain an existence of relaxed solutions results for McKean-Vlasov stochastic singular control problems. Finally,... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 553 (22)
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    No inter-library loan

     

    This paper establishes the existence of relaxed solutions to mean eld games (MFGs for short) with singular controls. As a by-product, we obtain an existence of relaxed solutions results for McKean-Vlasov stochastic singular control problems. Finally, we prove approximations of solutions results for a particular class of MFGs with singular controls by solutions, respectively control rules, for MFGs with purely regular controls. Our existence and approximation results strongly hinge on the use of the Skorokhod M1 topology on the space of cadlag functions.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/162518
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 22 (March 23, 2017)
    Scope: 1 Online-Ressource (circa 35 Seiten)