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Author ID: bayraktar.erhan Recent zbMATH articles by "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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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

Publications by Year

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
41
2013
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
37
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
34
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
32
2012
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
31
2015
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
31
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.
31
2009
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
27
2013
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
27
2006
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
27
2014
Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041
Bayraktar, Erhan; Young, Virginia R.
26
2007
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
25
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
25
2010
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
24
2011
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
23
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
22
2018
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
21
2014
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
21
2013
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
20
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
20
2011
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
20
2005
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
20
2017
Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015
Bayraktar, Erhan; Young, Virginia R.
18
2007
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
17
2011
Hedging life insurance with pure endowments. Zbl 1183.91067
Bayraktar, Erhan; Young, Virginia R.
15
2007
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
15
2008
Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132
Bayraktar, Erhan; Dayanik, Savas
14
2006
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
14
2011
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
14
2013
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
13
2015
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
13
2011
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
13
2018
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
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
12
2004
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
10
2006
Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062
Bayraktar, Erhan; Ludkovski, Michael
10
2009
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
10
2007
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
10
2018
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
10
2012
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
9
2021
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
9
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
9
2016
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
9
2014
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
9
2010
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
9
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
9
2016
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
9
2012
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
8
2014
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
8
2015
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
8
2010
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
8
2009
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
8
2013
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
8
2016
Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043
Bayraktar, Erhan; Poor, H. Vincent
7
2007
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
7
2009
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
7
2019
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
7
2009
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
6
2010
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
6
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
6
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
6
2019
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
6
2011
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
6
2016
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
6
2010
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
6
2008
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
6
2012
Stochastic differential games in a non-Markovian setting. Zbl 1102.91012
Bayraktar, Erhan; Poor, H. Vincent
5
2005
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2016
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
5
2016
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
5
2013
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2014
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
5
2018
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
5
2019
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
5
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
5
2017
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
5
2020
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
4
2016
Pricing options on defaultable stocks. Zbl 1142.91504
Bayraktar, E.
4
2008
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
4
2014
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
4
2014
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
4
2015
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
4
2011
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
4
2018
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
4
2013
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
4
2016
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
4
2011
Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482
Bayraktar, Erhan; Poor, H. Vincent
3
2005
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
3
2015
Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077
Bayraktar, Erhan; Sezer, Semih
3
2009
Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397
Bayraktar, Erhan; Young, Virginia R.
3
2009
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
3
2010
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
3
2013
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
3
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
3
2018
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
3
2014
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
3
2017
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2
2014
An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006
Bayraktar, Erhan; Munk, Alexander
2
2016
Optimal investment and consumption under a habit-formation constraint. Zbl 07511193
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
1
2022
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
9
2021
Transport plans with domain constraints. Zbl 1470.60117
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou
1
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
1
2021
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
5
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
3
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
1
2020
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
7
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
6
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
6
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
6
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
5
2019
On the controller-stopper problems with controlled jumps. Zbl 1422.91081
Bayraktar, Erhan; Li, Jiaqi
2
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2
2019
Rate control under heavy traffic with strategic servers. Zbl 1409.60131
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2
2019
Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053
Bayraktar, Erhan; Qiu, Jinniao
1
2019
No-arbitrage and hedging with liquid American options. Zbl 1433.91169
Bayraktar, Erhan; Zhou, Zhou
1
2019
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
23
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
22
2018
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
13
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
10
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
5
2018
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
4
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
3
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2
2018
Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234
Bayraktar, Erhan; Song, Qingshuo
2
2018
Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429
Bayraktar, Erhan; Cohen, Asaf
2
2018
Efficient Byzantine sequential change detection. Zbl 1395.94105
Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng
1
2018
On zero-sum optimal stopping games. Zbl 1404.49027
Bayraktar, Erhan; Zhou, Zhou
1
2018
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
20
2017
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
5
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
5
2017
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
3
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
2
2017
On an optimal stopping problem of an insider. Zbl 1386.60153
Bayraktar, E.; Zhou, Zh.
1
2017
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
9
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
9
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
9
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
9
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
8
2016
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
6
2016
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2016
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
5
2016
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
4
2016
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
4
2016
An \(\alpha\)-stable limit theorem under sublinear expectation. Zbl 1347.60006
Bayraktar, Erhan; Munk, Alexander
2
2016
On a stopping game in continuous time. Zbl 1345.60037
Bayraktar, Erhan; Zhou, Zhou
1
2016
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
31
2015
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
13
2015
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
8
2015
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
4
2015
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
3
2015
Weak reflection principle for Lévy processes. Zbl 1330.60064
Bayraktar, Erhan; Nadtochiy, Sergey
2
2015
Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
1
2015
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
37
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
34
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
27
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
21
2014
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
9
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
8
2014
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2014
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
4
2014
On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120
Bayraktar, Erhan; Zhou, Zhou
4
2014
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
3
2014
Quickest search over Brownian channels. Zbl 1322.60043
Bayraktar, Erhan; Kravitz, Ross
2
2014
On the existence of consistent price systems. Zbl 1291.91188
Bayraktar, Erhan; Pakkanen, Mikko S.; Sayit, Hasanjan
1
2014
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
41
2013
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
27
2013
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
21
2013
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
14
2013
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
8
2013
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
5
2013
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
4
2013
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
3
2013
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
32
2012
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
10
2012
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
9
2012
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
6
2012
Regularity of the optimal stopping problem for jump diffusions. Zbl 1255.60068
Bayraktar, Erhan; Xing, Hao
1
2012
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
24
2011
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
20
2011
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
20
2011
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
17
2011
Proving regularity of the minimal probability of ruin via a game of stopping and control. Zbl 1303.91196
Bayraktar, Erhan; Young, Virginia R.
14
2011
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
13
2011
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
6
2011
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
4
2011
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
4
2011
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
25
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
25
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
9
2010
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
8
2010
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
6
2010
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
6
2010
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
3
2010
On the stickiness property. Zbl 1205.91178
Bayraktar, Erhan; Sayit, Hasanjan
2
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.
31
2009
...and 27 more Documents
all top 5

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
all top 5

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

Citations by Year

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