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arXiv · 2607.29514

Robust mean field control: an application to optimal execution under composite uncertainty

Huafu Liao·Shuhui Liu·Chenchen Mou·Defeng Sun
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Abstract

We provide a framework for robust mean field control problems that describe multi-dimensional optimal liquidation problems under uncertainty from both the underlying stochastic process and the deterministic model parameters. The verification results are established with Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations where the variables are probability measures and the Hamiltonian nonlinearly involves the joint distribution of position and momentum. Using novel a priori estimates, we establish the well-posedness of the HJBI equations featuring general or quadratic Hamiltonians that are neither displacement convex nor concave in their momentum. The a priori estimates and well-posedness results are extended during their application to optimal liquidation problems, where we allow the Hamiltonian to have derivatives of linear growth and solve the constrained multi-dimensional linear quadratic optimal liquidation problem under composite uncertainty.

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Huafu Liao, Shuhui Liu, Chenchen Mou, Defeng Sun. 2026-07-31. Robust mean field control: an application to optimal execution under composite uncertainty. https://arxiv.org/abs/2607.29514

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