5 papers
Multidimensional quadratic BSDEs with weak interactions and their applications in mean-field games of controls
Ulrich Horst, Emil Schmidek, Huilin Zhang
The well-posedness of multidimensional quadratic backward stochastic differential equations (qBSDEs) remains one of the central open problems in BSDE theory. Motivated by a mean-fi…
Mean-field games with rough common noise: the linear-quadratic case
Peter K. Friz, Ioannis Gasteratos, Ulrich Horst +1
Motivated by mean-field games (MFG) with common noise on the one hand and pathwise stochastic control theory on the other, we formulate here a linear-quadratic (LQ) MFG with rough…
Mean Field Portfolio Games with Epstein-Zin Preferences
Guanxing Fu, Ulrich Horst
We study mean field portfolio games under Epstein-Zin preferences, which naturally encompass the classical time-additive power utility as a special case. In a general non-Markovian…
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
Ulrich Horst, Huilin Zhang
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and a…
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider both -player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially…