A Mean Field Game of Optimal Portfolio Liquidation

We consider a MFG of optimal portfolio liquidation under asymmetric information. We prove that the solution of the MFG can be characterised in terms of a FBSDE with possibly singular terminal condition on the backward... [ view full abstract ]

We consider a MFG of optimal portfolio liquidation under asymmetric information. We prove that the solution of the MFG can be characterised in terms of a FBSDE with possibly singular terminal condition on the backward component or, equivalently, in terms of a FBSDE with finite terminal condition, yet singular driver.  We introduce a weighted space to accommodate the solution. Finally, we prove our MFG can be approximated by a sequence of MFGs without state constraint.