208 citations · 498 across the 31 of their papers we have counts for
45 papers
Relative arbitrage problem under eigenvalue lower bounds
Jou-Hua Lai, Mykhaylo Shkolnikov, H. Mete Soner
We give a new formulation of the relative arbitrage problem from stochastic portfolio theory that asks for a time horizon beyond which arbitrage relative to the market exists in al…
Iterative Schemes for Markov Perfect Equilibria
Felix Höfer, Mathieu Laurière, H. Mete Soner +1
We study Markov perfect equilibria in continuous-time dynamic games with finitely many symmetric players. The corresponding Nash system reduces to the Nash-Lasry-Lions equation for…
Markov Perfect Equilibria in Discrete Finite-Player and Mean-Field Games
Felix Höfer, H. Mete Soner, Atilla Yılmaz
We study dynamic finite-player and mean-field stochastic games within the framework of Markov perfect equilibria (MPE). Our focus is on discrete time and space structures without m…
Mean Field Games of Control and Cryptocurrency Mining
Nicolas Garcia, Ronnie Sircar, H. Mete Soner
This paper studies Mean Field Games (MFGs) in which agent dynamics are given by jump processes of controlled intensity, with mean-field interaction via the controls and affecting t…
Learning algorithms for mean field optimal control
H. Mete Soner, Josef Teichmann, Qinxin Yan
We analyze an algorithm to numerically solve the mean-field optimal control problems by approximating the optimal feedback controls using neural networks with problem specific arch…
Controlled Occupied Processes and Viscosity Solutions
H. Mete Soner, Valentin Tissot-Daguette, Jianfeng Zhang
We consider the optimal control of occupied processes which record all positions of the state process. Dynamic programming yields nonlinear equations on the space of positive measu…