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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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Showing 2014Show all

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math.OC2014★ 1 cited

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…

math.OC2014

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…