1 citations · 1 across the 6 of their papers we have counts for
7 papers
Convex order and preservation of convexity for Bayesian posterior updates
Erhan Bayraktar, Yuqiong Wang
We study how the response of a Bayesian posterior statistic to future observations changes as information accumulates. For a non-decreasing function , define $Π_n^T=\E[T(Θ)\vert…
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
The relative efficiency of sequential tests
Henri Doerks, Erik Ekström, Yuqiong Wang
While many statistical procedures rely on a fixed sample size, sequential methods allow a decision-maker to adapt the sample size to achieve a given precision. In this way, sequent…
Thompson Sampling Algorithm for Stochastic Games
Asaf Cohen, Ruolan He, Yuqiong Wang
We study a stochastic differential game with competitive players in a linear-quadratic framework with ergodic cost, where -dimensional diffusion processes govern the state d…
On hypoellipticity of degenerate operators in testing and detection problems
Erhan Bayraktar, Yuqiong Wang
We study a class of degenerate diffusion generators arising in sequential testing and quickest detection problems with partial information. The observation process is driven by …
Dynkin ghost games with asymmetry and consolation
Erik Ekström, Yuqiong Wang
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of…
Stopping problems with an unknown state
Erik Ekström, Yuqiong Wang
We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influ…