4 papers
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,…
Distributionally robust Kalman filtering with volatility uncertainty
Bingyan Han
This work presents a distributionally robust Kalman filter to address uncertainties in noise covariance matrices and predicted covariance estimates. We adopt a distributionally rob…
Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…
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…