108 citations · 345 across the 44 of their papers we have counts for
5 papers · 1 filter
On a Stopping Game in continuous time
Erhan Bayraktar, Zhou Zhou
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin g…
On Zero-sum Optimal Stopping Games
Erhan Bayraktar, Zhou Zhou
On a filtered probability space , we consider stopper-stopper games $\overline V:=\inf_{\Rho\in\bT^{ii}}\sup_{τ\in\T}\E…
Nonparametric specification for non-stationary time series regression
Zhou Zhou
We investigate the behavior of the Generalized Likelihood Ratio Test (GLRT) (Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193]) for time varying coefficient models where the r…
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Erhan Bayraktar, Zhou Zhou
We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first…
Inference of weighted -statistics for nonstationary time series and its applications
Zhou Zhou
We investigate the behavior of Fourier transforms for a wide class of nonstationary nonlinear processes. Asymptotic central and noncentral limit theorems are established for a clas…