6 citations · 13 across the 7 of their papers we have counts for
7 papers
Existence of Markov equilibrium control in discrete time
Erhan Bayraktar, Bingyan Han
For time-inconsistent stochastic controls in discrete time and finite horizon, an open problem in Björk and Murgoci (Finance Stoch, 2014) is the existence of an equilibrium control…
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…
Fitted value iteration methods for bicausal optimal transport
Erhan Bayraktar, Bingyan Han
We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure. Based on the dynamic programming formulation,…
Distributionally robust Kalman filtering with volatility uncertainty
Bingyan Han
This work presents a distributionally robust Kalman filter to address uncertainties in noise covariance matrices and predicted covariance estimates. We adopt a distributionally rob…
Equilibrium transport with time-inconsistent costs
Erhan Bayraktar, Bingyan Han
Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonli…
Can maker-taker fees prevent algorithmic cooperation in market making?
Bingyan Han
In a semi-realistic market simulator, independent reinforcement learning algorithms may facilitate market makers to maintain wide spreads even without communication. This unexpecte…
Cooperation between Independent Market Makers
Bingyan Han
With the digitalization of the financial market, dealers are increasingly handling market-making activities by algorithms. Recent antitrust literature raises concerns on collusion…