9 citations · 24 across the 10 of their papers we have counts for
14 papers
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…
Optimal Stopping with Expectation Constraints
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal sto…
Dynamic Programming Principles for Optimal Stopping with Expectation Constraint
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that t…
Optimal Stopping with Random Maturity under Nonlinear Expectations
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with random maturity under a nonlinear expectation with respect to a weakly compact set of mutually singular probabilities . The…
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
Erhan Bayraktar, Song Yao
We study a doubly reflected backward stochastic differential equation (BSDE) with integrable parameters and the related Dynkin game. When the lower obstacle and the upper obsta…
Almost sure existence of Navier-Stokes Equations with randomized data in the whole space
Robin Ming Chen, Dehua Wang, Song Yao +1
This paper considers the supercritical Navier-Stokes equations posed in the whole space , with suitably randomized initial data, in the weak solution setting. The global weak…