Yuchong Zhang

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

SCHOLARLY PAPERS

11

DOWNLOADS

753

SSRN CITATIONS

8

CROSSREF CITATIONS

3

Scholarly Papers (11)

1.

Large Tournament Games

Number of pages: 57 Posted: 12 Feb 2018 Last Revised: 05 Nov 2018
Erhan Bayraktar, Jaksa Cvitanic and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics, California Institute of Technology - Division of the Humanities and Social Sciences and University of Toronto - Department of Statistics
Downloads 260 (133,253)
Citation 3

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Tournaments, rank-based rewards, mechanism design, mean field games, bifurcation diagram of Nash equilibria

2.

Lifetime Ruin Under Ambiguous Hazard Rate

Insurance: Mathematics and Economics, Vol. 70, 2016
Number of pages: 20 Posted: 13 Jun 2015 Last Revised: 30 Jun 2019
V.R. Young and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 119 (263,887)

Abstract:

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probability of lifetime ruin, ambiguity aversion, hazard rate uncertainty, optimal control, stochastic control

3.

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

Forthcoming, Mathematics of Operations Research
Number of pages: 24 Posted: 08 Feb 2014 Last Revised: 31 Aug 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 86 (327,763)
Citation 3

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Transaction costs, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, martingale selection problem

4.

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

SIAM Journal on Control and Optimization, 53(1), 58-90, 2015
Number of pages: 35 Posted: 07 Feb 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 68 (374,915)
Citation 2

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Probability of lifetime ruin, ambiguity aversion, drift uncertainty, viscosity solutions, Perron’s method, regularity

5.

A Note on the Fundamental Theorem of Asset Pricing Under Model Uncertainty

Risks, 2(4), 425-433, 2014
Number of pages: 9 Posted: 17 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Toronto - Department of Statistics and The University of Sydney
Downloads 47 (446,138)

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Model uncertainty, bid-ask prices for options, semi-static hedging, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, super-hedging, robust no-arbitrage, non-redundant options

6.

Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

SIAM Journal on Control and Optimization, 53(1), 91-113, 2015
Number of pages: 24 Posted: 30 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 44 (458,222)

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Stochastic Perron's method, singular control, probability of lifetime ruin, transaction costs, viscosity solutions, comparison principle

7.

A Mean Field Competition

Number of pages: 33 Posted: 04 Aug 2017
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 40 (475,204)
Citation 2

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Mean Field Game, Rank-Based Reward, Optimal Contract, R and D Competition

8.

A Rank-Based Mean Field Game in the Strong Formulation

Electronic Communications in Probability, 21, paper no. 72, 1-12, 2016
Number of pages: 12 Posted: 13 May 2016 Last Revised: 30 Jun 2019
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 35 (497,975)
Citation 2

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Mean Field Games, Competition, Common Noise, Rank-Dependent Interaction, Non-Local Interaction, Strong Formulation

9.

Terminal Ranking Games

Forthcoming, Mathematics of Operations Research
Number of pages: 22 Posted: 27 Jun 2019 Last Revised: 22 Jun 2020
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 23 (564,550)
Citation 1

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tournaments, rank-based rewards, mechanism design, mean field games, price of anarchy, Schrodinger bridges, Lorenz order

10.

Teamwise Mean Field Competitions

Number of pages: 31 Posted: 22 Jul 2020
Xiang Yu, Yuchong Zhang and Zhou Zhou
Hong Kong Polytechnic University, University of Toronto - Department of Statistics and The University of Sydney
Downloads 20 (583,938)

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11.

Conditional Optimal Stopping: A Time-Inconsistent Optimization

Number of pages: 34 Posted: 25 Jun 2019
Marcel Nutz and Yuchong Zhang
Columbia University and University of Toronto - Department of Statistics
Downloads 11 (645,738)

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Conditional optimal stopping, time-inconsistency, equilibrium