2 citations · 6 across the 13 of their papers we have counts for
8 papers · 1 filter
Target-Generated Dirichlet Problems in State-Constrained Stochastic Control
Erhan Bayraktar, Haichuan Ding, Ibrahim Ekren
We study state-constrained stochastic control problems with a scalar surplus . Controls for which the drift and volatility of vanish at zero define a lower-dimensiona…
A one-sided constrained martingale transport between two uniform laws
Erhan Bayraktar, Xin Zhang
We minimize over martingale couplings of and satisfying , where has convex derivative. Fea…
Prediction with Five Experts and Geometric Stopping: A Probabilistic Construction and Analytic Verification
Erhan Bayraktar, Ibrahim Ekren, Nikolaos Kolliopoulos
We present a solution of the limiting five-expert prediction problem with geometric stopping, based on stochastic calculus and partial differential equations. If is the stoppin…
Mean-field optimal stopping with endogenous quantile cutoffs
Erhan Bayraktar, Ibrahim Ekren, Xihao He
We study a mean-field optimal stopping problem with an endogenous population-level shutdown. All remaining agents stop when the survival mass falls below a prescribed threshold. We…
Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
Erhan Bayraktar, Ibrahim Ekren, Lu Vy +1
We study the computation of static mean-field equilibria on a compact state space by formulating the equilibrium condition as a variational inequality over probability measures. We…
Quantitative Particle Approximation for Controlled Nonlinear Filtering
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We estimate convergence rates of value functions for particle approximations of a controlled nonlinear filtering problem. The state is a McKean--Vlasov diffusion on the flat torus,…
A comparison principle for Wasserstein PDEs with state- and law-dependent common noise
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We prove a comparison principle for a class of second-order Hamilton--Jacobi--Bellman equations on the Wasserstein space whose second-order term is generated by a general common-no…
Uniform-in-time propagation of chaos for consensus-based minimax algorithm
Erhan Bayraktar, Zhiyan Ding, Ibrahim Ekren +1
We study the large-population convergence of a consensus-based algorithm for the saddle point problem proposed by ArXiv: 2212.12334, establishing the uniform-in-time propagation of…