6 citations · 12 across the 11 of their papers we have counts for
14 papers
Stochastic Control Problems with Infinite Horizon and Regime Switching Arising in Optimal Liquidation with Semimartingale Strategies
Xinman Cheng, Guanxing Fu, Xiaonyu Xia
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy c…
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…
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…
Mean-Field Liquidation Games with Market Drop-out
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider a novel class of portfolio liquidation games with market drop-out ("absorption"). More precisely, we consider mean-field and finite player liquidation games where a pla…
A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We consider a mean-field control problem with càdlàg semimartingale strategies arising in portfolio liquidation models with transient market impact and self-exciting order flow. We…
Mean Field Portfolio Games with Consumption
Guanxing Fu
We study mean field portfolio games with consumption. For general market parameters, we establish a one-to-one correspondence between Nash equilibria of the game and solutions to s…
Mean Field Portfolio Games
Guanxing Fu, Chao Zhou
We study mean field portfolio games with random market parameters, where each player is concerned with not only her own wealth but also relative performance to her competitors. We…
Portfolio Liquidation Games with Self-Exciting Order Flow
Guanxing Fu, Ulrich Horst, Xiaonyu Xia
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activitie…
Mean Field Exponential Utility Game: A Probabilistic Approach
Guanxing Fu, Xizhi Su, Chao Zhou
We study an -player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Mo…
Extended Mean Field Games with Singular Controls
Guanxing Fu
This paper establishes the existence of equilibria result of a class of mean field games with singular controls. The interaction takes place through both states and controls. A rel…
Mean-Field Leader-Follower Games with Terminal State Constraint
Guanxing Fu, Ulrich Horst
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 establis…
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…
Mean Field Games with Singular Controls
Guanxing Fu, Ulrich Horst
This paper establishes the existence of relaxed solutions to mean field games (MFGs for short) with singular controls. We also prove approximations of solutions results for a parti…
Maximum Principle for Quasi-linear Reflected Backward SPDEs
Guanxing Fu, Ulrich Horst, Jinniao Qiu
This paper establishes a maximum principle for quasi-linear reflected backward stochastic partial differential equations (RBSPDEs for short). We prove the existence and uniqueness…