3 citations · 4 across the 3 of their papers we have counts for
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math.PR2018★ 1 cited
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…
q-fin.MF2018★ 3 cited
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…