64 citations · 410 across the 142 of their papers we have counts for
176 papers
Mean-Field Doubly Reflected Forward-Backward SDEs with Optional Barriers and -Data
Erhan Bayraktar, Maurycy Rzymowski
We study mean-field doubly reflected forward-backward stochastic differential equations with two optional barriers satisfying a strong Mokobodzki condition. For -data, $p\in(1…
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…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…
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,…
Stochastic Control/Stopping Problem with Expectation Constraints
Erhan Bayraktar, Song Yao
We study a stochastic control/stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We demonstrate that…
Quantifying dimensional change in stochastic portfolio theory
Erhan Bayraktar, Donghan Kim, Abhishek Tilva
In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension. By introducing dimensional jumps in the market, as well as…