17 papers
Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
Erhan Bayraktar, Ibrahim Ekren, Lu Vy +1
We study the computation of static mean-field equilibria on a compact state space by formulating the equilibrium condition as a variational inequality over probability measures. We…
Quantitative Particle Approximation for Controlled Nonlinear Filtering
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We estimate convergence rates of value functions for particle approximations of a controlled nonlinear filtering problem. The state is a McKean--Vlasov diffusion on the flat torus,…
Multidimensional stochastic liquidity in Kyle's model of informed trading
Ibrahim Ekren, Evangelos A. Nikitopoulos, Lu Vy
We develop a variational formulation of Kyle's model of informed trading that accommodates stochastic liquidity and multiple traded assets. The main equilibrium result is stated fi…
Quantitative homogenization of convex Hamilton-Jacobi equations in the Wasserstein space
Zhiyan Ding, Ibrahim Ekren, Yuxi Han +1
We study a homogenization problem for first-order Hamilton-Jacobi equations in the Wasserstein space with a convex Hamiltonian. We show that the solution , which is…
A comparison principle for Wasserstein PDEs with state- and law-dependent common noise
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We prove a comparison principle for a class of second-order Hamilton--Jacobi--Bellman equations on the Wasserstein space whose second-order term is generated by a general common-no…
Analytical Approach to Continuous-Time Causal Optimal Transport
Julio Backhoff, Erhan Bayraktar, Ibrahim Ekren +1
We study causal optimal transport in continuous time, with Markovian cost, between a finite-state Markov source and a diffusion target. By replacing the source with its conditional…