3 citations · 4 across the 3 of their papers we have counts for
4 papers
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…
Transport plans with domain constraints
Erhan Bayraktar, Xin Zhang, Zhou Zhou
This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the exi…
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
Erhan Bayraktar, Jingjie Zhang, Zhou Zhou
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time…
On an Optimal Stopping Problem of an Insider
Erhan Bayraktar, Zhou Zhou
We consider the optimal stopping problem $v^{(\eps)}:=\sup_{τ\in\mathcal{T}_{0,T}}\mathbb{E}B_{(τ-\eps)^+}$ posed by Shiryaev at the International Conference on Advanced Stochastic…