We study a Kyle--Back model in which the informed trader has dynamic mean--variance preferences, leading to a time-inconsistent trading problem that is formulated as an intrapersonal game. The model combines two equilibrium requirements: a trading--pricing equilibrium between the informed trader and the market maker, a...
We consider the distribution-constrained optimal stopping problem introduced by Bayraktar and Miller (Mathematical Finance, 2019) and Beiglbock et al. (PTRF, 2018). Motivated by the multi-marginal Skorokhod embedding problem (SEP) and applications in financial mathematics, we generalize the Root-type solution to the mu...
We consider the distribution-constrained optimal stopping problem $\sup_{\tau\sim \mu} \mathbb E[B^*_\tau]$, where $\mu$ is a probability distribution on $\mathbb R_+$, and $(B^*_t)$ denotes the running maximum of a standard Brownian motion. This problem was introduced in Beiglbock et al. (PTRF, 2018), where a monotoni...
We establish marginal and functional convex order comparisons for graphon mean-field systems on $\mathbb{R}^d$, including the infinite-horizon setting. A key difficulty is that convex order cannot in general be transferred through the usual particle approximation, which requires us to work directly with Euler schemes f...
