6 citations · 13 across the 7 of their papers we have counts for
4 papers · 1 filter
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…
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…