6 citations · 6 across the 1 of their papers we have counts for
5 papers
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…
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…
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…