MEAN-FIELD LEADER-FOLLOWER GAMES WITH TERMINAL STATE CONSTRAINT

被引：20

作者：

Fu, Guanxing ^{[1
]}

Horst, Ulrich ^{[2
,3
]}

机构：

[1] Hong Kong Polytech Univ, Dept Appl Math, Hung Hom, Kowloon, Hong Kong, Peoples R China

[2] Humboldt Univ, Dept Math, Unter Linden 6, D-10099 Berlin, Germany

[3] Humboldt Univ, Sch Business & Econ, Unter Linden 6, D-10099 Berlin, Germany

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2020年 / 58卷 / 04期

关键词：

mean-field control; Stackelberg game; mean-field game with a major player; McKean-Vlasov FBSDE; portfolio liquidation; singular terminal constraint; STOCHASTIC DIFFERENTIAL-EQUATIONS; STACKELBERG GAMES; WELL-POSEDNESS; EXECUTION; SYSTEMS; BSDES;

D O I：

10.1137/19M1241878

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：2078 / 2113

页数：36

共 50 条

[1] Leader-follower mean field LQ games: A direct method
Wang, Bing-Chang
ASIAN JOURNAL OF CONTROL, 2024, 26 (02) : 617 - 625
[2] MEAN FIELD (NCE) FORMULATION OF ESTIMATION BASED LEADER-FOLLOWER COLLECTIVE DYNAMICS
Nourian, Mojtaba
Malhame, Roland P.
Huang, Minyi
Caines, Peter E.
INTERNATIONAL JOURNAL OF ROBOTICS & AUTOMATION, 2011, 26 (01) : 120 - 129
[3] Near-Optimal Control Strategy in Leader-Follower Networks: A Case Study for Linear Quadratic Mean-Field Teams
Baharloo, Mohammad M.
Arabneydi, Jalal
Aghdam, Amir G.
2018 IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2018, : 3288 - 3293
[4] QUANTUM MEAN-FIELD GAMES
Kolokoltsov, Vassili N.
ANNALS OF APPLIED PROBABILITY, 2022, 32 (03) : 2254 - 2288
[5] A constraint-preserving neural network approach for mean-field games equilibria
Liu, Jinwei
Ren, Lu
Yao, Wang
Zhang, Xiao
ANNALS OF PHYSICS, 2025, 478
[6] An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
Zhang, Haiyan
ADVANCES IN DIFFERENCE EQUATIONS, 2019, 2019 (1)
[7] The current method for stationary mean-field games on networks
Gomes, Diogo A.
Marcon, Diego
Al Saleh, Fatimah
2019 IEEE 58TH CONFERENCE ON DECISION AND CONTROL (CDC), 2019, : 305 - 310
[8] PROBABILISTIC ANALYSIS OF MEAN-FIELD GAMES
Carmona, Rene
Delarue, Francois
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2013, 51 (04) : 2705 - 2734
[9] Solution for a class of closed-loop leader-follower games with convexity conditions on the payoffs
Kicsiny, Richard
ANNALS OF OPERATIONS RESEARCH, 2017, 253 (01) : 405 - 429
[10] Mean-field liquidation games with market drop-out
Fu, Guanxing
Hager, Paul P.
Horst, Ulrich
MATHEMATICAL FINANCE, 2024, 34 (04) : 1123 - 1166

← 1 2 3 4 5 →