具有终端状态约束的平均场主从对策
Mean-Field Leader-Follower Games with Terminal State Constraint
摘要：
我们分析了线性McKean-Vlasov的前向-后向随机微分方程中所产生的领导者-跟随者的游戏与平均场型控制和终端状态的状态过程的限制。我们建立了时间加权空间中这类系统解的存在性和唯一性结果以及关于向前和向后分量的驱动因子的某些扰动的解的{收敛}结果。一般的结果被用来解决一个新的单一玩家模型的投资组合清算下的市场冲击与预期反馈，以及一个新的Stackelberg游戏的最优投资组合清算的不对称知情的球员。
英文摘要：
We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a {convergence} result of the solutions with respect to certain perturbations of the drivers of both the forward and the backward component. The general results are used to solve a novel single-player model of portfolio liquidation under market impact with expectations feedback as well as a novel Stackelberg game of optimal portfolio liquidation with asymmetrically informed players.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
