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Creators/Authors contains: "Ekren, Ibrahim"

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  1. ; ; (, Finance and Stochastics)
    Full Text Available 
  2. ; ; (, SIAM Journal on Control and Optimization)
    Full Text Available 
  3. ; ; (, Communications in Partial Differential Equations)
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  4. ; ; ; (, Frontiers of Mathematical Finance)
    This paper studies a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero-sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model to investigate how different inputs (payment frequencies, payment distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations. 
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  5. ; ; (, Journal of machine learning research)
    In this paper, we study a learning problem in which a forecaster only observes partial information. By properly rescaling the problem, we heuristically derive a limiting PDE on Wasserstein space which characterizes the asymptotic behavior of the regret of the forecaster. Using a verification type argument, we show that the problem of obtaining regret bounds and efficient algorithms can be tackled by finding appropriate smooth sub/supersolutions of this parabolic PDE. 
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    Accepted Manuscript Full Text Available
  6. ; ; (, Proceedings of the American Mathematical Society)
    In this note, we provide a smooth variational principle on Wasserstein space by constructing a smooth gauge-type function using the sliced Wasserstein distance. This function is a crucial tool for optimization problems and in viscosity theory of PDEs on Wasserstein space. 
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  7. ; (, Mathematical Finance)
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  8. ; ; (, Journal of machine learning research)
    null (Ed.)
    Accepted Manuscript Full Text Available