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A Mean Field Game of Optimal Portfolio Liquidation

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.

preprint2021arXivOpen access
Guanxing FuPaulwin GraeweUlrich HorstAlexandre Popier
math.OCmath.PR
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Guanxing FuPaulwin GraeweUlrich HorstAlexandre Popier

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