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math.PR2024
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…
q-fin.PM2024
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…
math.PR2024
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…