64 citations · 410 across the 142 of their papers we have counts for
49 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…
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…
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…
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…
Stability and Sample Complexity of Divergence Regularized Optimal Transport
Erhan Bayraktar, Stephan Eckstein, Xin Zhang
We study stability and sample complexity properties of divergence regularized optimal transport (DOT). First, we obtain quantitative stability results for optimizers of DOT measure…
Finite Approximations for Mean Field Type Multi-Agent Control and Their Near Optimality
Erhan Bayraktar, Nicole Bauerle, Ali Devran Kara
We study a multi-agent mean field type control problem in discrete time where the agents aim to find a socially optimal strategy and where the state and action spaces for the agent…