10 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…
Deep Neural Operator Learning for Probabilistic Models
Erhan Bayraktar, Qi Feng, Zecheng Zhang +1
We propose a deep neural-operator framework for a general class of probability models. Under global Lipschitz conditions on the operator over the entire Euclidean space-and for a b…
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 …
Optimal Matching Strategies in Two-sided Markets: A Mean Field Approach
Erhan Bayraktar, Dantong Chu, Bohan Li +1
This paper develops a mean field game framework for dynamic two-sided matching markets, extending existing matching theory by integrating micro-macro dynamics in two-sided environm…
Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model
Ahmad Aghapour, Erhan Bayraktar, Fengyi Yuan
We study dynamic data generation and its application to model-free dynamic portfolio selection. Existing score-based diffusion models are typically designed to learn a static data…
The Learning Approach to Games
Melih İşeri, Erhan Bayraktar
This work introduces a unified framework for analyzing games in greater depth. In the existing literature, players' strategies are typically assigned scalar values, and equilibrium…
Ergodicity and turnpike properties of linear-quadratic mean field control problems
Erhan Bayraktar, Jiamin Jian
We study the asymptotic behavior of solutions to linear-quadratic mean field stochastic optimal control problems. By formulating an ergodic control framework, we characterize the c…
On the Mean-Field limit of diffusive games through the master equation: estimates and extreme value behavior
Erhan Bayraktar, Nikolaos Kolliopoulos
We consider an -player game where the states of the players evolve with time as Stochastic Differential Equations (SDEs) with interaction only in the drift terms. Each player co…
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Probabilistic cellular automata with local transition matrices: synchronization, ergodicity, and inference
Erhan Bayraktar, Fei Lu, Mauro Maggioni +2
We introduce a new class of probabilistic cellular automata that are capable of exhibiting rich dynamics such as synchronization and ergodicity and can be easily inferred from data…