202 citations · 339 across the 38 of their papers we have counts for
48 papers
Target-Generated Dirichlet Problems in State-Constrained Stochastic Control
Erhan Bayraktar, Haichuan Ding, Ibrahim Ekren
We study state-constrained stochastic control problems with a scalar surplus . Controls for which the drift and volatility of vanish at zero define a lower-dimensiona…
Prediction with Five Experts and Geometric Stopping: A Probabilistic Construction and Analytic Verification
Erhan Bayraktar, Ibrahim Ekren, Nikolaos Kolliopoulos
We present a solution of the limiting five-expert prediction problem with geometric stopping, based on stochastic calculus and partial differential equations. If is the stoppin…
Mean-field optimal stopping with endogenous quantile cutoffs
Erhan Bayraktar, Ibrahim Ekren, Xihao He
We study a mean-field optimal stopping problem with an endogenous population-level shutdown. All remaining agents stop when the survival mass falls below a prescribed threshold. We…
Kullback-Leibler Mirror-Prox for Measure-Valued Variational Inequalities and Mean-Field Equilibria
Erhan Bayraktar, Ibrahim Ekren, Lu Vy +1
We study the computation of static mean-field equilibria on a compact state space by formulating the equilibrium condition as a variational inequality over probability measures. We…
Quantitative Particle Approximation for Controlled Nonlinear Filtering
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We estimate convergence rates of value functions for particle approximations of a controlled nonlinear filtering problem. The state is a McKean--Vlasov diffusion on the flat torus,…
Multidimensional stochastic liquidity in Kyle's model of informed trading
Ibrahim Ekren, Evangelos A. Nikitopoulos, Lu Vy
We develop a variational formulation of Kyle's model of informed trading that accommodates stochastic liquidity and multiple traded assets. The main equilibrium result is stated fi…