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 ]


  1. Guanxing Fu (Humboldt-Universität zu Berlin)
  2. Ulrich Horst (Humboldt-Universität zu Berlin)
  3. Paulwin Graewe (Humboldt-Universität zu Berlin)
  4. Alexandre Popier (Universite du Maine)

Topic Areas

Optimal Control , Optimal Execution , Price Impact


TH-A-DA » Equilibria, Games and BSDEs (11:30 - Thursday, 19th July, Davis)

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