64 citations · 410 across the 142 of their papers we have counts for
65 papers · 1 filter
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…
Hölder regularity and roughness: construction and examples
Erhan Bayraktar, Purba Das, Donghan Kim
We study how to construct a stochastic process on a finite interval with given `roughness' and finite joint moments of marginal distributions. We first extend Ciesielski's isomorph…
Supermartingale Brenier's Theorem with full-marginals constraint
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
We explicitly construct the supermartingale version of the Fr{é}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-…
Systemic robustness: a mean-field particle system approach
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang +1
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from consid…
Supermartingale shadow couplings: the decreasing case
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
For two measures and that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal t…
Stability of Time-inconsistent Stopping for One-dimensional Diffusion -- A Longer Version
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discountin…