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Control Optim."],"published-print":{"date-parts":[[2020,1]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1137\/19m1241878","type":"journal-article","created":{"date-parts":[[2020,7,27]],"date-time":"2020-07-27T10:46:19Z","timestamp":1595846779000},"page":"2078-2113","source":"Crossref","is-referenced-by-count":29,"title":["Mean-Field Leader-Follower Games with Terminal State Constraint"],"prefix":"10.1137","volume":"58","author":[{"given":"Guanxing","family":"Fu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Ulrich","family":"Horst","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2020,7,27]]},"reference":[{"key":"atypb1","unstructured":"B. Acciaio, J. Backhoff, and R. Carmona,\n                      Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective\n                      , preprint,https:\/\/arxiv.org\/abs\/1802.05754, 2018."},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1137\/140974730"},{"key":"atypb3","unstructured":"S. Ahuja, W. Ren, and T. Yang,\n                      Forward-backward Stochastic Differential Equations with Monotone Functionals and Mean Field Games with Common Noise\n                      , preprint,https:\/\/arxiv.org\/abs\/1611.04680, 2016."},{"key":"atypb4","doi-asserted-by":"publisher","DOI":"10.1007\/s00245-010-9123-8"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1137\/130923518"},{"key":"atypb6","unstructured":"M. Basei and H. 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Porretta,\n                      Remarks on Nash Equilibria in Mean Field Game Models with a Major Player\n                      , preprint,https:\/\/arxiv.org\/abs\/1811.02811, 2018."},{"key":"atypb13","doi-asserted-by":"publisher","DOI":"10.1137\/120883499"},{"key":"atypb14","doi-asserted-by":"publisher","DOI":"10.1214\/14-AOP946"},{"key":"atypb15","doi-asserted-by":"publisher","DOI":"10.1007\/s00245-017-9430-4"},{"key":"atypb16","doi-asserted-by":"publisher","DOI":"10.1214\/15-AAP1125"},{"key":"atypb17","unstructured":"P. Casgrain and S. Jaimungal,\n                      Mean-field with Differing Beliefs for Algorithmic Trading\n                      , preprint,https:\/\/arxiv.org\/abs\/1810.06101, 2018."},{"key":"atypb18","unstructured":"P. Casgrain and S. 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