64 citations · 410 across the 142 of their papers we have counts for
8 papers · 2 filters
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…
Concentration of measure for Graphon particle system
Erhan Bayraktar, Donghan Kim
We study heterogeneously interacting diffusive particle systems with mean-field type interaction characterized by an underlying graphon and their finite particle approximations. Un…
Walsh Spider Diffusions as Time Changed Multi-parameter Processes
Erhan Bayraktar, Jingjie Zhang, Xin Zhang
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph…