2 citations · 5 across the 8 of their papers we have counts for
8 papers · 1 filter
Mean Field Contest with Singularity
Marcel Nutz, Yuchong Zhang
We formulate a mean field game where each player stops a privately observed Brownian motion with absorption. Players are ranked according to their level of stopping and rewarded as…
Reward Design in Risk-Taking Contests
Marcel Nutz, Yuchong Zhang
Following the risk-taking model of Seel and Strack, players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked acco…
Terminal Ranking Games
Erhan Bayraktar, Yuchong Zhang
We analyze a mean field tournament: a mean field game in which the agents receive rewards according to the ranking of the terminal value of their projects and are subject to cost o…
Conditional Optimal Stopping: A Time-Inconsistent Optimization
Marcel Nutz, Yuchong Zhang
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at…
Large Tournament Games
Erhan Bayraktar, Jakša Cvitanić, Yuchong Zhang
We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When p…
A Mean Field Competition
Marcel Nutz, Yuchong Zhang
We introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward ba…
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
Erhan Bayraktar, Yuchong Zhang
We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is s…
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Erhan Bayraktar, Yuchong Zhang
We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does…