4 citations · 15 across the 18 of their papers we have counts for
9 papers · 1 filter
Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Nathan Sauldubois, Xin Zhang
Unlike classical optimal transport, weak transport costs depend nonlinearly on the conditional law of couplings. This feature is essential in problems involving barycenter, conditi…
A PDE approach for regret bounds under partial monitoring
Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
In this paper, we study a learning problem in which a forecaster only observes partial information. By properly rescaling the problem, we heuristically derive a limiting PDE on Was…
Walsh Spider Diffusions as Time Changed Multi-parameter Processes
Erhan Bayraktar, Jingjie Zhang, Xin Zhang
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph…
Propagation of Chaos of Forward-Backward Stochastic Differential Equations with Graphon Interactions
Erhan Bayraktar, Ruoyu Wu, Xin Zhang
In this paper, we study graphon mean field games using a system of forward-backward stochastic differential equations. We establish the existence and uniqueness of solutions under…
K-core in percolated dense graph sequences
Erhan Bayraktar, Suman Chakraborty, Xin Zhang
We determine the size of -core in a large class of dense graph sequences. Let be a sequence of undirected, -vertex graphs with edge weights $\{a^n_{i,j}\}_{i,j \in [n]}…
Finite-Time 4-Expert Prediction Problem
Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
We explicitly solve the nonlinear PDE that is the continuous limit of dynamic programming of \emph{expert prediction problem} in finite horizon setting with experts. The \emp…
On non-uniqueness in mean field games
Erhan Bayraktar, Xin Zhang
We analyze an -player game and the corresponding mean field game with state space . The transition rate of -th player is the sum of his control plus a minimu…
Embedding of Walsh Brownian Motion
Erhan Bayraktar, Xin Zhang
Let be a Walsh Brownian motion with spinning measure . Suppose is a probability measure on . We characterize all the such that is a stopping di…
Transport plans with domain constraints
Erhan Bayraktar, Xin Zhang, Zhou Zhou
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the exi…