Forschungsseminar "Stochastische Analysis und Stochastik der Finanzmärkte"
Prof. P. Bank, Prof. D. Becherer, Prof. P. Friz, Prof. U. Horst, Prof. D. Kreher, Prof. N. Perkowski

Guanxing Fu (HU Berlin)

A mean field game of optimal portfolio liquidation

Programm / Abstract:
We consider a mean field game (MFG) of optimal portfolio liquidation. We prove that the solution to the MFG can characterized in terms of a FBSDE with 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 terminal constraint can be approximated by a sequence of MFGs without constraint. This is joint work with Paulwin Graewe, Ulrich Horst and Alexandre Popier.

Zeit:
am Donnerstag den 07. Dezember 2017 um 16:15

Ort:
Humboldt-Universität zu Berlin, Institut für Mathematik
Rudower Chaussee 25
12489 Berlin
Raum 1.115 1. Etage

eingetragen von Sabine Bergmann(bergmann@mathematik.hu-berlin.de, 030/2093 5811)

zurück zum Kalender               Mathematics Calendar of the AMS