18 citations · 24 across the 14 of their papers we have counts for
16 papers
Kyle meets time-inconsistency: a dynamic mean--variance informed trading problem
Shuoqing Deng, Zhichao Luo, Zhenhua Wang
We study a Kyle--Back model in which the informed trader has dynamic mean--variance preferences, leading to a time-inconsistent trading problem that is formulated as an intraperson…
Existence of Relaxed Equilibrium for Time-Inconsistent Mean Field Games: A Set-Valued Fixed Point Approach
Zhenhua Wang, Zhou Zhou
This paper studies the existence of relaxed equilibria for finite-horizon continuous-time time-inconsistent mean field games. We work directly on the product space of relaxed feedb…
Time-Inconsistent MDPs with Entropy Regularization: Equilibrium Existence and Policy Iteration
Fengyuan Cao, Zhenhua Wang
We study infinite-horizon time-inconsistent Markov decision processes with a countably infinite state space and unbounded reward functions. The reward is allowed to depend explicit…
Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization
Erhan Bayraktar, Zhenhua Wang, Xiang Yu +1
This paper studies the existence and approximation of equilibria for general time-inconsistent mean field game (MFG) problems in continuous time. To handle the intricate nonlocal e…
Equilibrium under Time-Inconsistency: A New Existence Theory by Vanishing Entropy Regularization
Zhenhua Wang, Xiang Yu, Jingjie Zhang +1
This paper develops a framework for establishing the existence of solutions to the equilibrium Hamilton-Jacobi-Bellman (EHJB) equation arising in time-inconsistent stochastic contr…
Moderate Deviation Principle for Join-The-Shortest-Queue-d Systems
Zhenhua Wang, Ruoyu Wu
The Join-the-Shortest-Queue-d routing policy is considered for a large system with servers. Moderate deviation principles (MDP) for the occupancy process and the empirical queu…
Policy Iteration for Exploratory Hamilton--Jacobi--Bellman Equations
Hung Vinh Tran, Zhenhua Wang, Yuming Paul Zhang
We study the policy iteration algorithm (PIA) for entropy-regularized stochastic control problems on an infinite time horizon with a large discount rate, focusing on two main scena…
Binomial-tree approximation for time-inconsistent stopping
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
For time-inconsistent stopping in a one-dimensional diffusion setup, we investigate how to use discrete-time models to approximate the original problem. In particular, we consider…
On Time-Inconsistency in Mean Field Games
Erhan Bayraktar, Zhenhua Wang
We investigate an infinite-horizon time-inconsistent mean-field game (MFG) in a discrete time setting. We first present a classic equilibrium for the MFG and its associated existen…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems
Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
For a general entropy-regularized stochastic control problem on an infinite horizon, we prove that a policy iteration algorithm (PIA) converges to an optimal relaxed control. Contr…
Stability of Time-inconsistent Stopping for One-dimensional Diffusion -- A Longer Version
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discountin…
Stability of Equilibria in Time-inconsistent Stopping Problems
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions and transition kernels for time-inconsistent stopping problems…
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The dis…
Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems
Yu-Jui Huang, Zhenhua Wang
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is ta…
The coin-turning walk and its scaling limit
Janos Englander, Stanislav Volkov, Zhenhua Wang
Let be the random walk obtained from "coin turning" with some sequence , as introduced in [6]. In this paper we investigate the scaling limits of in the s…