8 papers
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,…
A comparison principle for Wasserstein PDEs with state- and law-dependent common noise
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
We prove a comparison principle for a class of second-order Hamilton--Jacobi--Bellman equations on the Wasserstein space whose second-order term is generated by a general common-no…
Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
Nathan Sauldubois, Xin Zhang
Unlike classical optimal transport, weak transport costs depend nonlinearly on the conditional law of couplings. This feature is essential in problems involving barycenter, conditi…
Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space
Erhan Bayraktar, Ibrahim Ekren, Xihao He +1
In this paper, we prove a comparison result for semi-continuous viscosity solutions of a class of second-order PDEs in the Wasserstein space. This allows us to remove the Lipschitz…
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…
Convergence Rate of Particle System for Second-order PDEs On Wasserstein Space
Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
In this paper, we provide a convergence rate for particle approximations of a class of second-order PDEs on Wasserstein space. We show that, up to some error term, the infinite-dim…