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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: 152 Publications since 2004
Co-Authors: 77 Co-Authors with 147 Joint Publications
2,299 Co-Co-Authors
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Serials

21 SIAM Journal on Control and Optimization
13 Stochastic Processes and their Applications
11 The Annals of Applied Probability
10 SIAM Journal on Financial Mathematics
9 Insurance Mathematics & Economics
8 Mathematics of Operations Research
7 Proceedings of the American Mathematical Society
7 Mathematical Finance
6 North American Actuarial Journal
5 Applied Mathematics and Optimization
5 Finance and Stochastics
5 Mathematical Methods of Operations Research
4 IEEE Transactions on Information Theory
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

130 Publications have been cited 1,264 times in 813 Documents Cited by Year
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
43
2013
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
41
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
36
2014
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
34
2015
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.
34
2009
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
33
2012
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
32
2008
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
29
2013
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
29
2014
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
27
2006
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
26
2018
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
26
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
26
2010
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
24
2011
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
23
2018
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
22
2014
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
21
2011
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
21
2013
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
21
2017
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
21
2005
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
20
2011
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
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
15
2021
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
15
2008
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
15
2013
Hedging life insurance with pure endowments. Zbl 1183.91067
Bayraktar, Erhan; Young, Virginia R.
15
2007
Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132
Bayraktar, Erhan; Dayanik, Savas
15
2006
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
14
2018
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
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
14
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
13
2004
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
13
2011
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
12
2012
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
11
2018
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
11
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
11
2016
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
11
2007
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
10
2015
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
10
2014
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
10
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
10
2016
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
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
9
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
9
2010
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
9
2014
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
9
2016
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
9
2010
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
8
2019
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
8
2013
Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043
Bayraktar, Erhan; Poor, H. Vincent
8
2007
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
8
2009
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
8
2009
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
7
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
7
2019
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
7
2009
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
6
2019
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
6
2018
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
6
2017
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
6
2020
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
6
2010
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
Outperforming the market portfolio with a given probability. Zbl 1259.60072
Bayraktar, Erhan; Huang, Yu-Jui; Song, Qingshuo
6
2012
An analysis of monotone follower problems for diffusion processes. Zbl 1217.93179
Bayraktar, Erhan; Egami, Masahiko
6
2008
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
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
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
5
2018
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
5
2013
Stochastic differential games in a non-Markovian setting. Zbl 1102.91012
Bayraktar, Erhan; Poor, H. Vincent
5
2005
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2014
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
4
2013
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
4
2018
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
4
2015
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
4
2020
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
4
2016
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
4
2011
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options. Zbl 1357.91046
Bayraktar, Erhan; Zhou, Zhou
4
2016
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
4
2014
Pricing options on defaultable stocks. Zbl 1142.91504
Bayraktar, E.
4
2008
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
4
2011
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
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
Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078
Bayraktar, Erhan; Yao, Song
3
2017
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
3
2015
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
3
2013
Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077
Bayraktar, Erhan; Sezer, Semih
3
2009
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
3
2010
Minimizing the lifetime shortfall or shortfall at death. Zbl 1162.91397
Bayraktar, Erhan; Young, Virginia R.
3
2009
Arbitrage in fractal modulated Black-Scholes models when the volatility is stochastic. Zbl 1152.91482
Bayraktar, Erhan; Poor, H. Vincent
3
2005
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
2
2021
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2
2020
Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093
Bayraktar, Erhan; Wu, Ruoyu
1
2022
Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230
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
15
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
2
2021
Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios. Zbl 1476.91138
Bayraktar, Erhan; Czichowsky, Christoph; Dolinskyi, Leonid; Dolinsky, Yan
1
2021
Transport plans with domain constraints. Zbl 1470.60117
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou
1
2021
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
6
2020
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
4
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2
2020
On the adversarial robustness of robust estimators. Zbl 1446.62103
Lai, Lifeng; Bayraktar, Erhan
1
2020
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
8
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
7
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
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
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
5
2019
Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053
Bayraktar, Erhan; Qiu, Jinniao
2
2019
Rate control under heavy traffic with strategic servers. Zbl 1409.60131
Bayraktar, Erhan; Budhiraja, Amarjit; Cohen, Asaf
2
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2
2019
On the controller-stopper problems with controlled jumps. Zbl 1422.91081
Bayraktar, Erhan; Li, Jiaqi
2
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
26
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
23
2018
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
14
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
11
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
6
2018
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
5
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
4
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2
2018
Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429
Bayraktar, Erhan; Cohen, Asaf
2
2018
Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234
Bayraktar, Erhan; Song, Qingshuo
2
2018
On zero-sum optimal stopping games. Zbl 1404.49027
Bayraktar, Erhan; Zhou, Zhou
1
2018
Efficient Byzantine sequential change detection. Zbl 1395.94105
Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng
1
2018
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
21
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
6
2017
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
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
11
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
11
2016
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
10
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
10
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
9
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
34
2015
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
14
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
10
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
41
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
36
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
29
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
22
2014
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
10
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
9
2014
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2014
Bayesian quickest change-point detection with sampling right constraints. Zbl 1360.94109
Geng, Jun; Bayraktar, Erhan; Lai, Lifeng
4
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
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
43
2013
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
29
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
15
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
33
2012
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
12
2012
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
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
21
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
26
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
26
2010
Inventory management with partially observed nonstationary demand. Zbl 1194.90008
Bayraktar, Erhan; Ludkovski, Michael
9
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
9
2010
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
9
2010
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
6
2010
...and 30 more Documents
all top 5

Cited by 1,017 Authors

92 Bayraktar, Erhan
41 Young, Virginia R.
16 Yamazaki, Kazutoshi
14 Liang, Zhibin
14 Zhou, Zhou
12 Ludkovski, Michael
12 Pham, Huyên
11 Huang, Yu-Jui
11 Li, Danping
10 Cohen, Asaf
10 Pérez Garmendia, Jose Luis
9 Cartea, Álvaro
9 Ekström, Erik
9 Jaimungal, Sebastian
9 Nutz, Marcel
9 Yuen, Kam Chuen
8 Yao, Song
8 Zhang, Jianfeng
7 Avanzi, Benjamin
7 Gapeev, Pavel V.
7 Han, Xia
7 Jin, Zhuo
7 Karatzas, Ioannis
7 Liang, Xiaoqing
7 Possamaï, Dylan
7 Yin, Chuancun
6 Belak, Christoph
6 Carmona, René A.
6 Cecchin, Alekos
6 Dayanik, Savas
6 Delarue, François
6 Dolinsky, Yan
6 Kardaras, Constantinos
6 Lacker, Daniel
6 Liang, Gechun
6 Obloj, Jan K.
6 Poor, Harold Vincent
6 Rong, Ximin
6 Song, Qingshuo
6 Wang, Wenyuan
6 Xing, Hao
6 Yuan, Yu
6 Zhang, Yuchong
6 Zhao, Hui
6 Zhou, Chao
5 Bäuerle, Nicole
5 Blake, David
5 Christensen, Soren
5 Cox, Alexander Matthew Gordon
5 Ekren, Ibrahim
5 Fahim, Arash
5 Hamadene, Saïd
5 Li, Bin
5 Lindensjö, Kristoffer
5 Quenez, Marie-Claire
5 Sayit, Hasanjan
5 Seifried, Frank Thomas
5 Sezer, Semih Onur
5 Touzi, Nizar
5 Wong, Bernard
5 Yoshioka, Hidekazu
4 Averboukh, Yuriĭ Vladimirovich
4 Azcue, Pablo
4 Bo, Lijun
4 Bouchard, Bruno
4 Buonaguidi, Bruno
4 Carassus, Laurence
4 Cardaliaguet, Pierre
4 Ceci, Claudia
4 Chen, Ping
4 Cosso, Andrea
4 Czichowsky, Christoph
4 Egami, Masahiko
4 Gomoyunov, Mikhail Igorevich
4 Guéant, Olivier
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 Sulem, Agnès
4 Suzuki, Kiyoshi
4 Tudor, Ciprian A.
4 Wang, Rongming
4 Zeng, Yan
4 Zhang, Caibin
4 Zhang, Xin
4 Zhao, Yongxia
4 Zhou, Ming
4 Zhu, Chao
3 Aurell, Alexander
3 Azimzadeh, Parsiad
3 Belomestny, Denis
3 Brachetta, Matteo
3 Burzoni, Matteo
3 Campi, Luciano
3 Che, Maolin
...and 917 more Authors
all top 5

Cited in 141 Serials

74 Insurance Mathematics & Economics
61 SIAM Journal on Control and Optimization
48 Stochastic Processes and their Applications
38 The Annals of Applied Probability
33 Finance and Stochastics
30 Applied Mathematics and Optimization
29 SIAM Journal on Financial Mathematics
28 Mathematics of Operations Research
18 Mathematical Finance
17 Journal of Computational and Applied Mathematics
17 Mathematical Methods of Operations Research
17 International Journal of Theoretical and Applied Finance
15 Quantitative Finance
15 North American Actuarial Journal
14 Mathematics and Financial Economics
13 Journal of Optimization Theory and Applications
13 European Journal of Operational Research
13 Applied Mathematical Finance
13 Scandinavian Actuarial Journal
13 Stochastics
11 Advances in Applied Probability
11 ASTIN Bulletin
10 Automatica
10 Journal of Applied Probability
9 Annals of Operations Research
8 Sequential Analysis
8 Communications in Statistics. Theory and Methods
8 Journal of Industrial and Management Optimization
7 The Annals of Probability
7 Annals of Finance
6 Journal of Economic Dynamics & Control
6 Electronic Journal of Probability
5 Proceedings of the American Mathematical Society
5 Stochastic Analysis and Applications
5 Stochastic Models
4 Journal of Mathematical Analysis and Applications
4 Applied Mathematics and Computation
4 Dynamic Games and Applications
4 Probability, Uncertainty and Quantitative Risk
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 Stochastics and Dynamics
3 Asia-Pacific Financial Markets
3 Review of Derivatives Research
3 Statistics & Risk Modeling
2 Computers & Mathematics with Applications
2 Physica A
2 Chaos, Solitons and Fractals
2 The Annals of Statistics
2 Mathematics and Computers in Simulation
2 SIAM Journal on Numerical Analysis
2 Statistics & Probability Letters
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 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Systems Science and Complexity
2 Decisions in Economics and Finance
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
2 Frontiers of Mathematical Finance
1 Archive for Rational Mechanics and Analysis
1 International Journal of Control
1 Journal of Engineering Mathematics
1 Calcolo
1 Demonstratio Mathematica
1 Illinois Journal of Mathematics
1 Journal of Differential Equations
1 Journal of Mathematical Economics
1 Journal of Statistical Planning and Inference
1 Memoirs of the American Mathematical Society
1 Operations Research
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
...and 41 more Serials

Citations by Year

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