A mean field game of optimal portfolio liquidation

7. December 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Guanxing Fu (HU Berlin)

We consider a mean field game (MFG) of optimal portfolio liquidation. We prove that the
solution to the MFG can characterized in terms of a FBSDE with 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
terminal constraint can be approximated by a sequence of MFGs without constraint.
This is joint work with Paulwin Graewe, Ulrich Horst and Alexandre Popier.


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