3 papers
econ.GN2021
A Maximum Principle approach to deterministic Mean Field Games of Control with Absorption
Paulwin Graewe, Ulrich Horst, Ronnie Sircar
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic…
math.PR2019
Asymptotic approach for backward stochastic differential equation with singular terminal condition *
Paulwin Graewe, Alexandre Popier
In this paper, we provide a one-to-one correspondence between the solution Y of a BSDE with singular terminal condition and the solution H of a BSDE with singular generator. This r…
math.OC2018
A Mean Field Game of Optimal Portfolio Liquidation
Guanxing Fu, Paulwin Graewe, Ulrich Horst +1
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 wi…