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Pré-Publication, Document De Travail Année : 2018

A Mean Field Game of Optimal Portfolio Liquidation *

Résumé

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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Dates et versions

hal-01764399 , version 1 (11-04-2018)
hal-01764399 , version 2 (07-03-2019)
hal-01764399 , version 3 (24-01-2021)

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Citer

Guanxing Fu, Paulwin Graewe, Ulrich Horst, Alexandre Popier. A Mean Field Game of Optimal Portfolio Liquidation *. 2018. ⟨hal-01764399v1⟩

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