ﻻ يوجد ملخص باللغة العربية
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.
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players trading activities have an impact on the dynamics of future market order arrivals thereb
A decentralized blockchain is a distributed ledger that is often used as a platform for exchanging goods and services. This ledger is maintained by a network of nodes that obeys a set of rules, called a consensus protocol, which helps to resolve inco
This paper extends the project initiated in arXiv:2002.00201 and studies a lifecycle portfolio choice problem with borrowing constraints and finite retirement time in which an agent receives labor income that adjusts to financial market shocks in a p
Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical setting, the number of players is large but fixed throughout the game. Ho
This paper is devoted to the singular perturbation problem for mean field game systems with control on the acceleration. This correspond to a model in which the acceleration cost vanishes. So, we are interested in analyzing the behavior of solutions