Corpus ID: 62900224

A Mean Field Game of Optimal Portfolio Liquidation

@article{Fu2018AMF,
  title={A Mean Field Game of Optimal Portfolio Liquidation},
  author={G. Fu and Paulwin Graewe and Ulrich Horst and A. Popier},
  journal={arXiv: Optimization and Control},
  year={2018}
}
  • G. Fu, Paulwin Graewe, +1 author A. Popier
  • Published 2018
  • Mathematics
  • arXiv: Optimization and Control
  • 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… CONTINUE READING

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