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Fu, Guanxing
Horst, Ulrich
Year of Publication: 
Series/Report no.: 
Discussion Paper 129
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
mean-field control
Stackelberg game
mean-field game with a major player
McKean-Vlasov FBSDE
portfolio liquidation
singular terminal constraint
Document Type: 
Working Paper

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