A Mean Field Game of Optimal Portfolio Liquidation
نویسندگان
چکیده
We consider a mean field game (MFG) of optimal portfolio liquidation under asymmetric information. prove that the solution to MFG can be characterized in terms forward-backward stochastic differential equation (FBSDE) with possibly singular terminal condition on backward component or, equivalently, an FBSDE finite value yet driver. Extending method continuation linear-quadratic FBSDEs driver, we has unique solution. Our existence and uniqueness result allows proving approximated by sequence MFGs values.
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2021
ISSN: ['0364-765X', '1526-5471']
DOI: https://doi.org/10.1287/moor.2020.1094