• Corpus ID: 250244089

A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies

@inproceedings{Fu2022AMC,
  title={A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies},
  author={Guanxing Fu and Ulrich Horst and Xiaonyu Xia},
  year={2022}
}
We consider a mean-field control problem with c`adl`ag semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We show that the value function depends on the state process only through its law, and that it is of linear-quadratic form and that its coefficients satisfy a coupled system of non-standard Riccati-type equations. The Riccati equations are obtained heuristically by passing to the continuous-time limit from a sequence of… 
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