5 papers
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
The relative efficiency of sequential tests
Henri Doerks, Erik Ekström, Yuqiong Wang
While many statistical procedures rely on a fixed sample size, sequential methods allow a decision-maker to adapt the sample size to achieve a given precision. In this way, sequent…
Thompson Sampling Algorithm for Stochastic Games
Asaf Cohen, Ruolan He, Yuqiong Wang
We study a stochastic differential game with competitive players in a linear-quadratic framework with ergodic cost, where -dimensional diffusion processes govern the state d…
On hypoellipticity of degenerate operators in testing and detection problems
Erhan Bayraktar, Yuqiong Wang
We study a class of degenerate diffusion generators arising in sequential testing and quickest detection problems with partial information. The observation process is driven by …
Dynkin ghost games with asymmetry and consolation
Erik Ekström, Yuqiong Wang
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of…