6 citations · 6 across the 6 of their papers we have counts for
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q-fin.MF2018
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…
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…