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20132026
most citedA rank based mean field game in the strong formulation

2 citations · 5 across the 8 of their papers we have counts for

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math.PR2016★ 2 cited

A rank based mean field game in the strong formulation

Erhan Bayraktar, Yuchong Zhang

We discuss a natural game of competition and solve the corresponding mean field game with \emph{common noise} when agents' rewards are \emph{rank dependent}. We use this solution t…

math.PR2013

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty

Erhan Bayraktar, Yuchong Zhang

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is mode…