9 papers
Mean-Field Doubly Reflected Forward-Backward SDEs with Optional Barriers and -Data
Erhan Bayraktar, Maurycy Rzymowski
We study mean-field doubly reflected forward-backward stochastic differential equations with two optional barriers satisfying a strong Mokobodzki condition. For -data, $p\in(1…
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
Clémence Alasseur, Erhan Bayraktar, Roxana Dumitrescu +1
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking…
Fitted value iteration methods for bicausal optimal transport
Erhan Bayraktar, Bingyan Han
We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure. Based on the dynamic programming formulation,…
Erratum to "On the market viability under proportional transaction costs"
Erhan Bayraktar, Xiang Yu
This short note aims to point out mistakes in one of the implications for Theorem 2.8 in Bayraktar and Yu [Mathematical Finance, 28 (2018), pp. 800-838], which weakens the statemen…
Walsh Spider Diffusions as Time Changed Multi-parameter Processes
Erhan Bayraktar, Jingjie Zhang, Xin Zhang
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph…
Equilibrium transport with time-inconsistent costs
Erhan Bayraktar, Bingyan Han
Given two probability measures on sequential data, we investigate the transport problem with time-inconsistent preferences in a discrete-time setting. Motivating examples are nonli…