Mean-Field Leader-Follower Games with Terminal State Constraint
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Publication:3300842
DOI10.1137/19M1241878zbMath1447.91159arXiv1809.04401MaRDI QIDQ3300842
Publication date: 30 July 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.04401
Stackelberg gamemean-field controlportfolio liquidationMcKean-Vlasov FBSDEmean-field game with a major playersingular terminal constraint
Hierarchical games (including Stackelberg games) (91A65) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)
Related Items (14)
Extended Mean Field Games with Singular Controls ⋮ A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption ⋮ Equilibrium price formation with a major player and its mean field limit ⋮ Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium ⋮ A McKean-Vlasov game of commodity production, consumption and trading ⋮ A two-player portfolio tracking game ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations ⋮ A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection ⋮ Probabilistic Approach to Mean Field Games and Mean Field Type Control Problems with Multiple Populations ⋮ Price formation and optimal trading in intraday electricity markets ⋮ Mean field portfolio games ⋮ A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition ⋮ On Regularized Optimal Execution Problems and Their Singular Limits
Uses Software
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