64 citations · 410 across the 142 of their papers we have counts for
4 papers · 2 filters
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…