## Bayraktar, Erhan

Compute Distance To:
 Author ID: bayraktar.erhan Published as: Bayraktar, Erhan; Bayraktar, E. Homepage: https://sites.lsa.umich.edu/erhan/ External Links: MGP · ORCID · Wikidata · arXiv · ResearchGate · Math-Net.Ru · dblp
 Documents Indexed: 147 Publications since 2004 Co-Authors: 70 Co-Authors with 139 Joint Publications 1,409 Co-Co-Authors
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### Co-Authors

 3 single-authored 21 Young, Virginia R. 11 Zhou, Zhou 9 Poor, Harold Vincent 9 Yao, Song 7 Xing, Hao 6 Zhang, Yuchong 5 Cohen, Asaf 5 Egami, Masahiko 5 Ludkovski, Michael 4 Angoshtari, Bahman 4 Dolinsky, Yan 4 Huang, Yu-Jui 4 Lai, Lifeng 4 Promislov, S. David 3 Dayanik, Savas 3 Ekren, Ibrahim 3 Guo, Jia 3 Karatzas, Ioannis 3 Kravitz, Ross 3 Li, Jiaqi 3 Pham, Huyên 3 Sayit, Hasanjan 3 Sîrbu, Mihai 3 Song, Qingshuo 2 Azimzadeh, Parsiad 2 Budhiraja, Amarjit S. 2 Cosso, Andrea 2 Dolinskyi, Leonid 2 Kardaras, Constantinos 2 Keller, Christian 2 Kyprianou, Andreas E. 2 Wu, Ruoyu 2 Yamazaki, Kazutoshi 2 Yu, Xiang 1 Bäuerle, Nicole 1 Bernhardt, Thomas 1 Burzoni, Matteo 1 Cecchin, Alekos 1 Chakraborty, Suman 1 Cossc, Andrea 1 Cox, Alexander Matthew Gordon 1 Cvitanić, Jakša 1 Czichowsky, Christoph 1 Delarue, François 1 Ekström, Erik 1 Emmerling, Thomas J. 1 Fahim, Arash 1 Fellouris, Georgios 1 Geng, Jun 1 Guo, Gaoyue 1 Horst, Ulrich 1 Hu, Xueying 1 Labahn, George 1 Liang, Zhibin 1 Menaldi, Jose-Luis 1 Milevsky, Moshe Arye 1 Miller, Christopher W. 1 Moore, Kristen S. 1 Munk, Alexander 1 Nadtochiy, Sergey 1 Pakkanen, Mikko S. 1 Qiu, Jinniao 1 Rao, Raghuveer M. 1 Sezer, Semih Onur 1 Sircar, K. Ronnie 1 Sircar, Ronnie 1 Stoev, Yavor I. 1 Wang, Gu 1 Zhang, Jingjie 1 Zhang, Yili
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### Serials

 20 SIAM Journal on Control and Optimization 12 Stochastic Processes and their Applications 11 The Annals of Applied Probability 9 Insurance Mathematics & Economics 9 SIAM Journal on Financial Mathematics 7 Mathematics of Operations Research 7 Proceedings of the American Mathematical Society 7 Mathematical Finance 6 North American Actuarial Journal 5 Finance and Stochastics 5 Mathematical Methods of Operations Research 4 IEEE Transactions on Information Theory 4 Applied Mathematics and Optimization 4 International Journal of Theoretical and Applied Finance 3 Applied Mathematical Finance 3 Stochastics 2 Stochastic Analysis and Applications 2 Sequential Analysis 2 Annals of Operations Research 2 Electronic Communications in Probability 2 Quantitative Finance 2 Mathematics and Financial Economics 2 Annals of Finance 1 Theory of Probability and its Applications 1 Illinois Journal of Mathematics 1 Journal of Applied Probability 1 Journal of Functional Analysis 1 Journal of Optimization Theory and Applications 1 Transactions of the American Mathematical Society 1 Systems & Control Letters 1 Numerical Methods for Partial Differential Equations 1 Journal of Economic Dynamics & Control 1 SIAM Journal on Matrix Analysis and Applications 1 Communications in Partial Differential Equations 1 Journal de Mathématiques Pures et Appliquées. Neuvième Série 1 SIAM Journal on Mathematical Analysis 1 The Electronic Journal of Combinatorics 1 Bernoulli 1 Journal of Machine Learning Research (JMLR) 1 ASTIN Bulletin
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### Fields

 97 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 96 Probability theory and stochastic processes (60-XX) 43 Systems theory; control (93-XX) 29 Calculus of variations and optimal control; optimization (49-XX) 24 Partial differential equations (35-XX) 15 Statistics (62-XX) 7 Numerical analysis (65-XX) 6 Operations research, mathematical programming (90-XX) 3 Combinatorics (05-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Statistical mechanics, structure of matter (82-XX)

### Citations contained in zbMATH Open

127 Publications have been cited 1,184 times in 766 Documents Cited by Year
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2013
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
2012
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
2015
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
2008
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
2009
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
2013
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
2006
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2014
Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041
Bayraktar, Erhan; Young, Virginia R.
2007
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
2010
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
2011
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
2018
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
2014
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
2013
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
2011
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
2005
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
2017
Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015
Bayraktar, Erhan; Young, Virginia R.
2007
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
2011
Hedging life insurance with pure endowments. Zbl 1183.91067
Bayraktar, Erhan; Young, Virginia R.
2007
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
2008
Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132
Bayraktar, Erhan; Dayanik, Savas
2006
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
2011
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
2013
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
2015
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
2011
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
2018
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
2015
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
2004
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
2006
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
2009
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
2007
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
2018
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
2021
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
2014
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
2010
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
2016
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
2012
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
2014
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
2015
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
2010
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
2009
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
2013
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043
Bayraktar, Erhan; Poor, H. Vincent
2007
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
2009
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
2019
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
2009
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
2010
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
2019
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
2011
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
2016
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
2010
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
2008
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
2012
Stochastic differential games in a non-Markovian setting. Zbl 1102.91012
Bayraktar, Erhan; Poor, H. Vincent
2005
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2016
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
2016
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
2013
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2014
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
2018
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
2017
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2020
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
2016
Pricing options on defaultable stocks. Zbl 1142.91504
Bayraktar, E.
2008
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
2014
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
2014
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
2015
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
2011
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
2018
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
2013
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
2020
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
2016
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
2011
Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482
Bayraktar, Erhan; Poor, H. Vincent
2005
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
2015
Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077
Bayraktar, Erhan; Sezer, Semih
2009
Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397
Bayraktar, Erhan; Young, Virginia R.
2009
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
2010
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
2013
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
2020
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2018
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
2014
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
2017
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2014
An $$\alpha$$-stable limit theorem under sublinear expectation. Zbl 1347.60006
Bayraktar, Erhan; Munk, Alexander
2016
Optimal investment and consumption under a habit-formation constraint. Zbl 07511193
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2022
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
2021
Transport plans with domain constraints. Zbl 1470.60117
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
2021
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
2020
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2020
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
2019
On the controller-stopper problems with controlled jumps. Zbl 1422.91081
Bayraktar, Erhan; Li, Jiaqi
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2019
Rate control under heavy traffic with strategic servers. Zbl 1409.60131
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2019
Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053
Bayraktar, Erhan; Qiu, Jinniao
2019
No-arbitrage and hedging with liquid American options. Zbl 1433.91169
Bayraktar, Erhan; Zhou, Zhou
2019
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
2018
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2018
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
2018
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
2018
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method. Zbl 1425.91043
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2018
Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234
Bayraktar, Erhan; Song, Qingshuo
2018
Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429
Bayraktar, Erhan; Cohen, Asaf
2018
Efficient Byzantine sequential change detection. Zbl 1395.94105
Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng
2018
On zero-sum optimal stopping games. Zbl 1404.49027
Bayraktar, Erhan; Zhou, Zhou
2018
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
2017
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
2017
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
2017
On an optimal stopping problem of an insider. Zbl 1386.60153
Bayraktar, E.; Zhou, Zh.
2017
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2016
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
2016
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2016
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
2016
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
2016
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
2016
An $$\alpha$$-stable limit theorem under sublinear expectation. Zbl 1347.60006
Bayraktar, Erhan; Munk, Alexander
2016
On a stopping game in continuous time. Zbl 1345.60037
Bayraktar, Erhan; Zhou, Zhou
2016
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
2015
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
2015
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
2015
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
2015
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
2015
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
2015
Weak reflection principle for Lévy processes. Zbl 1330.60064
2015
Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2015
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
2014
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
2014
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2014
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
2014
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
2014
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
2014
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2014
On the existence of consistent price systems. Zbl 1291.91188
Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
2013
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
2013
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
2013
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
2013
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
2013
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
2013
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
2013
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
2013
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
2012
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
2012
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
2012
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
2012
Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068
Bayraktar, Erhan; Xing, Hao
2012
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
2011
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
2011
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
2011
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
2011
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
2011
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
2011
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
2011
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
2011
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
2010
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
2010
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
2010
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
2010
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
2010
On the stickiness property. Zbl 1205.91178
Bayraktar, Erhan; Sayit, Hasanjan
2010
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities. Zbl 1170.91406
Bayraktar, Erhan; Milevsky, Moshe A.; Promislow, S. David; Young, Virginia R.
2009
...and 27 more Documents
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### Cited by 948 Authors

 88 Bayraktar, Erhan 41 Young, Virginia R. 16 Yamazaki, Kazutoshi 13 Zhou, Zhou 12 Pham, Huyên 11 Huang, Yu-Jui 11 Liang, Zhibin 11 Ludkovski, Michael 10 Cohen, Asaf 10 Pérez Garmendia, Jose Luis 9 Cartea, Álvaro 9 Ekström, Erik 9 Jaimungal, Sebastian 9 Li, Danping 9 Nutz, Marcel 9 Yuen, Kam Chuen 8 Yao, Song 8 Zhang, Jianfeng 7 Avanzi, Benjamin 7 Gapeev, Pavel V. 7 Jin, Zhuo 7 Karatzas, Ioannis 7 Liang, Xiaoqing 7 Possamaï, Dylan 7 Yin, Chuancun 6 Cecchin, Alekos 6 Dayanik, Savas 6 Dolinsky, Yan 6 Kardaras, Constantinos 6 Lacker, Daniel 6 Liang, Gechun 6 Obloj, Jan K. 6 Poor, Harold Vincent 6 Song, Qingshuo 6 Wang, Wenyuan 6 Xing, Hao 6 Zhang, Yuchong 6 Zhou, Chao 5 Bäuerle, Nicole 5 Blake, David 5 Carmona, René A. 5 Cox, Alexander Matthew Gordon 5 Delarue, François 5 Ekren, Ibrahim 5 Li, Bin 5 Lindensjö, Kristoffer 5 Quenez, Marie-Claire 5 Rong, Ximin 5 Sayit, Hasanjan 5 Sezer, Semih Onur 5 Touzi, Nizar 5 Wong, Bernard 5 Yoshioka, Hidekazu 5 Zhao, Hui 4 Averboukh, Yuriĭ Vladimirovich 4 Azcue, Pablo 4 Belak, Christoph 4 Bo, Lijun 4 Bouchard, Bruno 4 Carassus, Laurence 4 Ceci, Claudia 4 Chen, Ping 4 Christensen, Soren 4 Cosso, Andrea 4 Czichowsky, Christoph 4 Egami, Masahiko 4 Fahim, Arash 4 Gomoyunov, Mikhail Igorevich 4 Guéant, Olivier 4 Hamadene, Saïd 4 Han, Xia 4 Hernández-Hernández, Daniel 4 Kratschmer, Volker 4 Li, Dongchen 4 Moreno-Franco, Harold A. 4 Muler, Nora E. 4 Plaksin, Anton Romanovich 4 Promislov, S. David 4 Reisinger, Christoph 4 Seifried, Frank Thomas 4 Sulem, Agnès 4 Suzuki, Kiyoshi 4 Tudor, Ciprian A. 4 Zeng, Yan 4 Zhao, Yongxia 4 Zhou, Ming 4 Zhu, Chao 3 Azimzadeh, Parsiad 3 Belomestny, Denis 3 Brachetta, Matteo 3 Buonaguidi, Bruno 3 Burzoni, Matteo 3 Campi, Luciano 3 Cardaliaguet, Pierre 3 Delong, Łukasz 3 Djehiche, Boualem 3 Egídio dos Reis, Alfredo D. 3 Fontana, Claudio 3 Frostig, Esther 3 Gaigi, M’hamed ...and 848 more Authors
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### Cited in 133 Serials

 72 Insurance Mathematics & Economics 60 SIAM Journal on Control and Optimization 46 Stochastic Processes and their Applications 35 The Annals of Applied Probability 32 Finance and Stochastics 28 Applied Mathematics and Optimization 26 SIAM Journal on Financial Mathematics 25 Mathematics of Operations Research 18 Mathematical Finance 17 International Journal of Theoretical and Applied Finance 15 Mathematical Methods of Operations Research 15 Quantitative Finance 15 North American Actuarial Journal 14 Journal of Computational and Applied Mathematics 13 Journal of Optimization Theory and Applications 13 European Journal of Operational Research 13 Applied Mathematical Finance 13 Scandinavian Actuarial Journal 13 Stochastics 13 Mathematics and Financial Economics 11 Advances in Applied Probability 11 ASTIN Bulletin 10 Automatica 10 Journal of Applied Probability 8 Sequential Analysis 8 Annals of Operations Research 7 Annals of Finance 6 The Annals of Probability 6 Journal of Economic Dynamics & Control 6 Communications in Statistics. Theory and Methods 6 Journal of Industrial and Management Optimization 5 Proceedings of the American Mathematical Society 5 Stochastic Analysis and Applications 5 Electronic Journal of Probability 4 Journal of Mathematical Analysis and Applications 4 Applied Mathematics and Computation 4 Stochastic Models 4 Dynamic Games and Applications 3 Transactions of the American Mathematical Society 3 Operations Research Letters 3 Acta Mathematicae Applicatae Sinica. English Series 3 Journal of Scientific Computing 3 Communications in Partial Differential Equations 3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 3 Abstract and Applied Analysis 3 Methodology and Computing in Applied Probability 3 Asia-Pacific Financial Markets 3 Review of Derivatives Research 3 Statistics & Risk Modeling 3 Probability, Uncertainty and Quantitative Risk 2 Computers & Mathematics with Applications 2 Chaos, Solitons and Fractals 2 Mathematics and Computers in Simulation 2 SIAM Journal on Numerical Analysis 2 Probability Theory and Related Fields 2 Journal of Theoretical Probability 2 Mathematical and Computer Modelling 2 European Journal of Applied Mathematics 2 Automation and Remote Control 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 NoDEA. Nonlinear Differential Equations and Applications 2 Electronic Communications in Probability 2 Bernoulli 2 Mathematical Problems in Engineering 2 The ANZIAM Journal 2 Journal of Systems Science and Complexity 2 Decisions in Economics and Finance 2 Stochastics and Dynamics 2 Journal of Applied Mathematics and Computing 2 East Asian Mathematical Journal 2 Science China. Mathematics 2 Mathematical Control and Related Fields 2 Stochastic Systems 2 Vestnik Udmurtskogo Universiteta. Matematika. Mekhanika. Komp’yuternye Nauki 1 Archive for Rational Mechanics and Analysis 1 International Journal of Control 1 Journal of Engineering Mathematics 1 Physica A 1 The Annals of Statistics 1 Calcolo 1 Demonstratio Mathematica 1 Illinois Journal of Mathematics 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Systems & Control Letters 1 Journal of Time Series Analysis 1 Chinese Annals of Mathematics. Series B 1 Statistics 1 Revista Matemática Iberoamericana 1 Numerical Methods for Partial Differential Equations 1 Applied Mathematics Letters 1 MCSS. Mathematics of Control, Signals, and Systems 1 Numerical Algorithms 1 Games and Economic Behavior 1 International Journal of Computer Mathematics 1 SIAM Journal on Mathematical Analysis 1 SIAM Review 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Journal of Nonlinear Science 1 Journal of Computer and Systems Sciences International ...and 33 more Serials
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### Cited in 31 Fields

 553 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 438 Probability theory and stochastic processes (60-XX) 262 Systems theory; control (93-XX) 148 Calculus of variations and optimal control; optimization (49-XX) 93 Statistics (62-XX) 82 Partial differential equations (35-XX) 78 Operations research, mathematical programming (90-XX) 46 Numerical analysis (65-XX) 12 Operator theory (47-XX) 8 Integral equations (45-XX) 6 General and overarching topics; collections (00-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Ordinary differential equations (34-XX) 6 Integral transforms, operational calculus (44-XX) 6 Biology and other natural sciences (92-XX) 5 Computer science (68-XX) 4 Functional analysis (46-XX) 3 Information and communication theory, circuits (94-XX) 2 Real functions (26-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Mathematical logic and foundations (03-XX) 1 Combinatorics (05-XX) 1 Field theory and polynomials (12-XX) 1 Functions of a complex variable (30-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Difference and functional equations (39-XX) 1 Approximations and expansions (41-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of particles and systems (70-XX) 1 Mathematics education (97-XX)

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