8 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…
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…
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…
Optimal Control and Potential Games in the Mean Field
Felix Höfer, H. Mete Soner
We study a mean field optimal control problem with general non-Markovian dynamics, including both common noise and jumps. We show that its minimizers are Nash equilibria of an asso…
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…
Stopping Times of Boundaries: Relaxation and Continuity
H. Mete Soner, Valentin Tissot-Daguette
We study the properties of the free boundaries and the corresponding hitting times in the context of optimal stopping in discrete time. We first prove the continuity of the map fro…