17 citations · 17 across the 6 of their papers we have counts for
5 papers · 1 filter
A unified approach to informed trading via Monge-Kantorovich duality
Reda Chhaibi, Ibrahim Ekren, Eunjung Noh +1
We solve a generalized Kyle model type problem using Monge-Kantorovich duality and backward stochastic partial differential equations. First, we show that the the generalized Kyle…
Multidimensional Kyle-Back model with a risk averse informed trader
Shreya Bose, Ibrahim Ekren
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equ…
Finite-Time 4-Expert Prediction Problem
Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
We explicitly solve the nonlinear PDE that is the continuous limit of dynamic programming of \emph{expert prediction problem} in finite horizon setting with experts. The \emp…
On the asymptotic optimality of the comb strategy for prediction with expert advice
Erhan Bayraktar, Ibrahim Ekren, Yili Zhang
For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the…
Optimal Stopping under Nonlinear Expectation
Ibrahim Ekren, Nizar Touzi, Jianfeng Zhang
Let be a bounded càdlàg process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process under a nonl…