SIAM Journal on Control and Optimization, Volume 58, Issue 4, Page 2078-2113, January 2020.
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 establish an existence and uniqueness of solutions result for such systems in time-weighted spaces as well as a convergence result of the solutions with respect to certain perturbations of the drivers of both the forward and the backward component. The general results are used to solve a novel single player model of portfolio liquidation under market impact with expectations feedback as well as a novel Stackelberg game of optimal portfolio liquidation with asymmetrically informed players.

中文翻译：

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具有终端状态约束的均值领导者跟随游戏

SIAM控制与优化杂志，第58卷，第4期，第2078-2113页，2020年1月。
我们分析了在领导者跟随游戏中出现的线性McKean-Vlasov前后向SDE，其中均场类型控制和终端状态约束状态过程。我们建立了时间加权空间中此类系统的解结果的存在性和唯一性，以及关于前向和后向驱动因素的某些摄动的解的收敛结果。总体结果用于解决在市场影响下具有期望反馈的新颖的单人投资组合清算模型，以及具有不对称信息的参与者的最优投资组合清算的新颖Stackelberg游戏。