3 papers
math.OC2026
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…
q-fin.TR2026
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…
math.PR2022
A unified approach to informed trading via Monge-Kantorovich duality
Reda Chhaibi, Ibrahim Ekren, Eunjung Noh +1
We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle…