6 citations · 12 across the 11 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…