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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
all top 5

Co-Authors

3 single-authored
25 Young, Virginia R.
18 Zhou, Zhou
15 Zhang, Xin
13 Yao, Song
9 Poor, Harold Vincent
8 Cohen, Asaf
7 Ekren, Ibrahim
7 Xing, Hao
6 Wang, Zhenhua
6 Zhang, Yuchong
5 Angoshtari, Bahman
5 Egami, Masahiko
5 Huang, Yu-Jui
5 Ludkovski, Michael
5 Wu, Ruoyu
4 Chakraborty, Suman
4 Dolinsky, Yan
4 Kravitz, Ross
4 Lai, Lifeng
4 Munk, Alexander
4 Promislov, S. David
4 Song, Qingshuo
3 Cecchin, Alekos
3 Dayanik, Savas
3 Deng, Shuoqing
3 Guo, Gaoyue
3 Guo, Jia
3 Kara, Ali Devran
3 Karatzas, Ioannis
3 Li, Jiaqi
3 Norgilas, Dominykas
3 Pham, Huyên
3 Sayit, Hasanjan
3 Sîrbu, Mihai
3 Zhang, Jingjie
2 Azimzadeh, Parsiad
2 Bäuerle, Nicole
2 Budhiraja, Amarjit S.
2 Chen, Li
2 Chen, Tao
2 Cosso, Andrea
2 Delarue, François
2 Dolinskyi, Leonid
2 Han, Bingyan
2 Horst, Ulrich
2 Kardaras, Constantinos
2 Keller, Christian
2 Kyprianou, Andreas E.
2 Nellis, April
2 Sircar, Ronnie
2 Tang, Wenpin
2 Tilva, Abhishek
2 Yamazaki, Kazutoshi
2 Yang, Bo
2 Yu, Xiang
1 Alasseur, Clemence
1 Amini, Hamed
1 Belak, Christoph
1 Bernhardt, Thomas
1 Burzoni, Matteo
1 Cayé, Thomas
1 Chakraborty, Prakash
1 Christensen, Soren
1 Cossc, Andrea
1 Cox, Alexander Matthew Gordon
1 Cvitanić, Jakša
1 Czichowsky, Christoph
1 Das, Purba
1 Dumitrescu, Roxana
1 Eckstein, Stephan
1 Ekström, Erik
1 Emmerling, Thomas J.
1 Fahim, Arash
1 Fellouris, Georgios
1 Geng, Jun
1 Hu, Xueying
1 Jacquet, Quentin
1 Labahn, George
1 Li, Wuchen
1 Liang, Zhibin
1 Menaldi, Jose-Luis
1 Milevsky, Moshe Arye
1 Miller, Christopher W.
1 Moore, Kristen S.
1 Nadtochiy, Sergey
1 Pakkanen, Mikko S.
1 Qiu, Jinniao
1 Rao, Raghuveer M.
1 Seifried, Frank Thomas
1 Sezer, Semih Onur
1 Sircar, K. Ronnie
1 Stoev, Yavor I.
1 Wang, Gu
1 Yang, Jie
1 Zhang, Yili
1 Zhang, Yuming
1 Zhang, Yuming Paul
1 Zhou, Hongyi
all top 5

Serials

23 SIAM Journal on Control and Optimization
13 The Annals of Applied Probability
13 Stochastic Processes and their Applications
13 SIAM Journal on Financial Mathematics
10 Mathematical Finance
9 Insurance Mathematics & Economics
8 Mathematics of Operations Research
8 Proceedings of the American Mathematical Society
7 Applied Mathematics and Optimization
6 North American Actuarial Journal
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 Bernoulli
2 Quantitative Finance
2 Mathematics and Financial Economics
2 Annals of Finance
2 Frontiers of Mathematical Finance
1 Journal of Statistical Physics
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 Journal of Nonlinear Science
1 The Electronic Journal of Combinatorics
1 Journal of Machine Learning Research (JMLR)
1 ASTIN Bulletin
1 SIAM Journal on Mathematics of Data Science

Publications by Year

Citations contained in zbMATH Open

147 Publications have been cited 1,455 times in 930 Documents Cited by Year
On optimal dividends in the dual model. Zbl 1283.91192
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
48
2013
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
45
2014
Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028
Bayraktar, Erhan; Zhang, Yuchong
39
2015
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
37
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
35
2012
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
35
2018
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
Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049
Bayraktar, Erhan; Egami, Masahiko
34
2008
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
33
2018
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
32
2013
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
31
2006
On the one-dimensional optimal switching problem. Zbl 1221.60058
Bayraktar, Erhan; Egami, Masahiko
28
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
28
2010
Optimal stopping for non-linear expectations. I. Zbl 1221.60059
Bayraktar, Erhan; Yao, Song
28
2011
Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041
Bayraktar, Erhan; Young, Virginia R.
27
2007
Optimal stopping for non-linear expectations. II. Zbl 1221.60060
Bayraktar, Erhan; Yao, Song
27
2011
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
25
2013
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
25
2005
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
23
2014
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
21
2017
Optimal trade execution in illiquid markets. Zbl 1233.91335
Bayraktar, Erhan; Ludkovski, Michael
21
2011
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
20
2021
Pricing Asian options for jump diffusion. Zbl 1229.91332
Bayraktar, Erhan; Xing, Hao
18
2011
Correspondence between lifetime minimum wealth and utility of consumption. Zbl 1144.91015
Bayraktar, Erhan; Young, Virginia R.
18
2007
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
16
2015
Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132
Bayraktar, Erhan; Dayanik, Savas
16
2006
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
16
2013
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
15
2016
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
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
15
2018
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
14
2004
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
14
2012
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 robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
14
2014
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
13
2015
On the continuity of stochastic exit time control problems. Zbl 1211.60012
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie
13
2011
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
13
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
12
2016
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
12
2018
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
11
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
11
2016
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
11
2014
Strict local martingale deflators and valuing American call-type options. Zbl 1269.60045
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
The effects of implementation delay on decision-making under uncertainty. Zbl 1115.93095
Bayraktar, Erhan; Egami, Masahiko
11
2007
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012
Bayraktar, Erhan; Xing, Hao
11
2010
A limit theorem for financial markets with inert investors. Zbl 1276.91055
Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie
11
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
10
2010
Optimal investment strategy to minimize occupation time. Zbl 1233.91235
Bayraktar, Erhan; Young, Virginia R.
10
2010
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
10
2019
Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209
Bayraktar, Erhan; Xing, Hao
9
2009
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189
Bayraktar, Erhan; Xing, Hao
8
2009
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
8
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
8
2019
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
8
2020
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
8
2019
Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043
Bayraktar, Erhan; Poor, H. Vincent
8
2007
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
8
2013
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
7
2016
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
7
2017
A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033
Bayraktar, Erhan
7
2009
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
7
2013
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
7
2010
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
7
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
6
2018
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
A unified framework for pricing credit and equity derivatives. Zbl 1229.91330
Bayraktar, Erhan; Yang, Bo
6
2011
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
6
2016
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
6
2018
On the robust Dynkin game. Zbl 1371.60071
Bayraktar, Erhan; Yao, Song
5
2017
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
5
2019
Martingale optimal transport with stopping. Zbl 1405.60053
Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor
5
2018
Stochastic differential games in a non-Markovian setting. Zbl 1102.91012
Bayraktar, Erhan; Poor, H. Vincent
5
2005
Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R.
5
2011
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
5
2013
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
5
2020
Purchasing life insurance to reach a bequest goal. Zbl 1304.91091
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
5
2014
Stochastic Perron for stochastic target games. Zbl 1337.93100
Bayraktar, Erhan; Li, Jiaqi
5
2016
Minimizing the probability of lifetime ruin with deferred life annuities. Zbl 1483.91178
Bayraktar, Erhan; Young, Virginia R.
5
2009
Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093
Bayraktar, Erhan; Wu, Ruoyu
4
2022
Stochastic Perron for stochastic target problems. Zbl 1346.93394
Bayraktar, Erhan; Li, Jiaqi
4
2016
A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006
Bayraktar, Erhan; Fahim, Arash
4
2014
No-arbitrage and hedging with liquid American options. Zbl 1433.91169
Bayraktar, Erhan; Zhou, Zhou
4
2019
On the perpetual American put options for level dependent volatility models with jumps. Zbl 1235.91160
Bayraktar, Erhan
4
2011
Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077
Bayraktar, Erhan; Sezer, Semih
4
2009
A unified treatment of dividend payment problems under fixed cost and implementation delays. Zbl 1189.93142
Bayraktar, Erhan; Egami, Masahiko
4
2010
Pricing options on defaultable stocks. Zbl 1142.91504
Bayraktar, E.
4
2008
Minimizing the probability of lifetime ruin under random consumption. Zbl 1481.91192
Bayraktar, Erhan; Moore, Kristen S.; Young, Virginia R.
4
2008
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
4
2017
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
4
2015
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
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
4
2013
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
4
2021
Mean field control and finite agent approximation for regime-switching jump diffusions. Zbl 1518.35223
Bayraktar, Erhan; Cecchin, Alekos; Chakraborty, Prakash
3
2023
Stability of equilibria in time-inconsistent stopping problems. Zbl 1512.49014
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou
1
2023
Data-driven nonparametric robust control under dependence uncertainty. Zbl 1519.91236
Bayraktar, Erhan; Chen, Tao
1
2023
Supermartingale Brenier’s theorem with full-marginals constraint. Zbl 1520.91438
Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
1
2023
Approximate Q learning for controlled diffusion processes and its near optimality. Zbl 1521.93214
Bayraktar, Erhan; Kara, Ali Devran
1
2023
Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093
Bayraktar, Erhan; Wu, Ruoyu
4
2022
Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2
2022
Convergence of optimal investment problems in the vanishing fixed cost limit. Zbl 1498.91375
Bayraktar, Erhan; Belak, Christoph; Christensen, Sören; Seifried, Frank T.
1
2022
Finite state mean field games with wright-Fisher common noise as limits of \(N\)-player weighted games. Zbl 1505.91058
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
1
2022
Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. Zbl 1504.60061
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou
1
2022
Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012
Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François
20
2021
Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144
Bayraktar, Erhan; Wu, Ruoyu
4
2021
Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
4
2021
Embedding of Walsh Brownian motion. Zbl 1469.60252
Bayraktar, Erhan; Zhang, Xin
1
2021
Transport plans with domain constraints. Zbl 1470.60117
Bayraktar, Erhan; Zhang, Xin; Zhou, Zhou
1
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
Strong equivalence between metrics of Wasserstein type. Zbl 1483.90108
Bayraktar, Erhan; Guo, Gaoyue
1
2021
Terminal ranking games. Zbl 1483.91030
Bayraktar, Erhan; Zhang, Yuchong
1
2021
On non-uniqueness in mean field games. Zbl 1444.91025
Bayraktar, Erhan; Zhang, Xin
8
2020
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
7
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
5
2020
On the asymptotic optimality of the comb strategy for prediction with expert advice. Zbl 07420064
Bayraktar, Erhan; Ekren, Ibrahim; Zhang, Yili
3
2020
On the adversarial robustness of robust estimators. Zbl 1446.62103
Lai, Lifeng; Bayraktar, Erhan
2
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2
2020
Finite-time 4-expert prediction problem. Zbl 1523.68053
Bayraktar, Erhan; Ekren, Ibrahim; Zhang, Xin
1
2020
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
10
2019
High order Bellman equations and weakly chained diagonally dominant tensors. Zbl 1455.65100
Azimzadeh, Parsiad; Bayraktar, Erhan
8
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
8
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
8
2019
Large tournament games. Zbl 1443.91035
Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong
5
2019
No-arbitrage and hedging with liquid American options. Zbl 1433.91169
Bayraktar, Erhan; Zhou, Zhou
4
2019
On the controller-stopper problems with controlled jumps. Zbl 1422.91081
Bayraktar, Erhan; Li, Jiaqi
3
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
2
2019
Analysis of a finite state many player game using its master equation. Zbl 1416.91013
Bayraktar, Erhan; Cohen, Asaf
35
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
33
2018
Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328
Bayraktar, Erhan; Keller, Christian
15
2018
Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021
Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George
12
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
6
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
Risk sensitive control of the lifetime ruin problem. Zbl 1407.93429
Bayraktar, Erhan; Cohen, Asaf
3
2018
Solvability of the nonlinear Dirichlet problem with integro-differential operators. Zbl 1386.60234
Bayraktar, Erhan; Song, Qingshuo
2
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
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
7
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
4
2017
Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities. Zbl 1372.35169
Bayraktar, Erhan; Cossc, Andrea; Pham, Huyên
3
2017
On an optimal stopping problem of an insider. Zbl 1386.60153
Bayraktar, E.; Zhou, Zh.
2
2017
Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042
Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên
15
2016
Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158
Bayraktar, Erhan; Zhang, Yuchong
13
2016
Optimal investment to minimize the probability of drawdown. Zbl 1367.91162
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
12
2016
Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
11
2016
Optimally investing to reach a bequest goal. Zbl 1371.91149
Bayraktar, Erhan; Young, Virginia R.
11
2016
A rank-based mean field game in the strong formulation. Zbl 1415.91050
Bayraktar, Erhan; Zhang, Yuchong
7
2016
Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
6
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
3
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
39
2015
Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094
Bayraktar, Erhan; Zhang, Yuchong
16
2015
Doubly reflected BSDEs with integrable parameters and related Dynkin games. Zbl 1325.60085
Bayraktar, Erhan; Yao, Song
13
2015
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Quickest detection with discretely controlled observations. Zbl 1309.62142
Bayraktar, Erhan; Kravitz, Ross
4
2015
Weak reflection principle for Lévy processes. Zbl 1330.60064
Bayraktar, Erhan; Nadtochiy, Sergey
3
2015
Byzantine fault tolerant distributed quickest change detection. Zbl 1314.62187
Bayraktar, Erhan; Lai, Lifeng
3
2015
Purchasing term life insurance to reach a bequest goal: time-dependent case. Zbl 1414.91162
Bayraktar, Erhan; Promislow, S. David; Young, Virginia R.
2
2015
Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161
Liang, Zhibin; Bayraktar, Erhan
45
2014
Liquidation in limit order books with controlled intensity. Zbl 1314.91247
Bayraktar, Erhan; Ludkovski, Michael
37
2014
Optimal dividends in the dual model under transaction costs. Zbl 1294.91071
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi
33
2014
Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games. Zbl 1321.60080
Bayraktar, Erhan; Sîrbu, Mihai
23
2014
On the robust optimal stopping problem. Zbl 1310.60040
Bayraktar, Erhan; Yao, Song
14
2014
A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104
Bäuerle, Nicole; Bayraktar, Erhan
11
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
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
48
2013
Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019
Bayraktar, Erhan; Sîrbu, Mihai
32
2013
On the multidimensional controller-and-stopper games. Zbl 1268.49045
Bayraktar, Erhan; Huang, Yu-Jui
25
2013
On the impulse control of jump diffusions. Zbl 1272.49073
Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis
16
2013
A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082
Bayraktar, Erhan; Yao, Song
8
2013
Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030
Bayraktar, Erhan; Young, Virginia R.
7
2013
Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061
Bayraktar, Erhan; Kravitz, Ross
5
2013
Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081
Bayraktar, Erhan; Huang, Yu-Jui
4
2013
Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056
Bayraktar, Erhan; Sîrbu, Mihai
35
2012
Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082
Bayraktar, Erhan; Yao, Song
14
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
28
2011
...and 47 more Documents
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Cited by 1,163 Authors

105 Bayraktar, Erhan
45 Young, Virginia R.
18 Yamazaki, Kazutoshi
17 Zhou, Zhou
14 Liang, Zhibin
14 Pham, Huyên
13 Cohen, Asaf
12 Huang, Yu-Jui
12 Ludkovski, Michael
11 Li, Danping
11 Pérez Garmendia, Jose Luis
10 Cartea, Álvaro
10 Ekström, Erik
10 Liang, Xiaoqing
10 Possamaï, Dylan
9 Jaimungal, Sebastian
9 Nutz, Marcel
9 Yuen, Kam Chuen
8 Avanzi, Benjamin
8 Cecchin, Alekos
8 Dayanik, Savas
8 Lacker, Daniel
8 Wang, Wenyuan
8 Yao, Song
8 Zhang, Jianfeng
7 Belak, Christoph
7 Delarue, François
7 Dolinsky, Yan
7 Gapeev, Pavel V.
7 Han, Xia
7 Jin, Zhuo
7 Karatzas, Ioannis
7 Liang, Gechun
7 Obloj, Jan K.
7 Sezer, Semih Onur
7 Yin, Chuancun
7 Zhou, Chao
6 Carmona, René A.
6 Ekren, Ibrahim
6 Kardaras, Constantinos
6 Li, Bin
6 Poor, Harold Vincent
6 Rong, Ximin
6 Seifried, Frank Thomas
6 Song, Qingshuo
6 Xing, Hao
6 Yoshioka, Hidekazu
6 Yuan, Yu
6 Zhang, Xin
6 Zhang, Yuchong
6 Zhao, Hui
5 Azcue, Pablo
5 Bäuerle, Nicole
5 Blake, David
5 Buonaguidi, Bruno
5 Cardaliaguet, Pierre
5 Christensen, Soren
5 Cosso, Andrea
5 Cox, Alexander Matthew Gordon
5 De Angelis, Tiziano
5 Fahim, Arash
5 Frostig, Esther
5 Gomoyunov, Mikhail Igorevich
5 Hamadene, Saïd
5 Lindensjö, Kristoffer
5 Moreno-Franco, Harold A.
5 Muler, Nora E.
5 Plaksin, Anton Romanovich
5 Quenez, Marie-Claire
5 Reisinger, Christoph
5 Sayit, Hasanjan
5 Tan, Xiaolu
5 Touzi, Nizar
5 Wang, Rongming
5 Wong, Bernard
4 Averboukh, Yuriĭ Vladimirovich
4 Bo, Lijun
4 Bouchard, Bruno
4 Carassus, Laurence
4 Ceci, Claudia
4 Chen, Ping
4 Czichowsky, Christoph
4 Egami, Masahiko
4 El Asri, Brahim
4 Guéant, Olivier
4 Hernández-Hernández, Daniel
4 Kratschmer, Volker
4 Landriault, David
4 Li, Dongchen
4 Mastrolia, Thibaut
4 Nie, Tianyang
4 Palmowski, Zbigniew
4 Promislov, S. David
4 Schachermayer, Walter
4 Sulem, Agnès
4 Suzuki, Kiyoshi
4 Tudor, Ciprian A.
4 Wang, Zhenhua
4 Wei, Jiaqin
4 Wiesel, Johannes C. W.
...and 1,063 more Authors
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Cited in 160 Serials

77 Insurance Mathematics & Economics
69 SIAM Journal on Control and Optimization
51 Stochastic Processes and their Applications
42 The Annals of Applied Probability
38 Applied Mathematics and Optimization
35 SIAM Journal on Financial Mathematics
34 Finance and Stochastics
30 Mathematics of Operations Research
30 Mathematical Finance
18 Mathematical Methods of Operations Research
17 Journal of Computational and Applied Mathematics
17 International Journal of Theoretical and Applied Finance
17 North American Actuarial Journal
16 Quantitative Finance
15 Mathematics and Financial Economics
14 Advances in Applied Probability
14 Journal of Applied Probability
14 Scandinavian Actuarial Journal
14 Stochastics
13 Journal of Optimization Theory and Applications
13 European Journal of Operational Research
13 Applied Mathematical Finance
11 ASTIN Bulletin
11 Journal of Industrial and Management Optimization
10 Automatica
10 Annals of Operations Research
10 Communications in Statistics. Theory and Methods
8 Sequential Analysis
8 Electronic Journal of Probability
8 Annals of Finance
7 Journal of Mathematical Analysis and Applications
7 The Annals of Probability
6 Proceedings of the American Mathematical Society
6 Journal of Economic Dynamics & Control
6 Methodology and Computing in Applied Probability
5 Applied Mathematics and Computation
5 Transactions of the American Mathematical Society
5 Stochastic Analysis and Applications
5 Stochastic Models
5 Dynamic Games and Applications
5 Probability, Uncertainty and Quantitative Risk
4 Bernoulli
3 Computers & Mathematics with Applications
3 Operations Research Letters
3 Acta Mathematicae Applicatae Sinica. English Series
3 Journal of Scientific Computing
3 Communications in Partial Differential Equations
3 Electronic Communications in Probability
3 Mathematical Problems in Engineering
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
3 Abstract and Applied Analysis
3 Decisions in Economics and Finance
3 Stochastics and Dynamics
3 Asia-Pacific Financial Markets
3 Review of Derivatives Research
3 Statistics & Risk Modeling
2 International Journal of Control
2 Physica A
2 Chaos, Solitons and Fractals
2 The Annals of Statistics
2 Journal of Functional Analysis
2 Mathematics and Computers in Simulation
2 SIAM Journal on Numerical Analysis
2 Systems & Control Letters
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 SIAM Journal on Mathematical Analysis
2 Journal of Nonlinear Science
2 NoDEA. Nonlinear Differential Equations and Applications
2 Probability in the Engineering and Informational Sciences
2 The ANZIAM Journal
2 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Systems Science and Complexity
2 Journal of Applied Mathematics and Computing
2 East Asian Mathematical Journal
2 Science China. Mathematics
2 Numerical Algebra, Control and Optimization
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 Communications on Pure and Applied Mathematics
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 Naval Research Logistics
1 Operations Research
1 Statistica
1 Journal of Time Series Analysis
...and 60 more Serials
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Cited in 36 Fields

653 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
532 Probability theory and stochastic processes (60-XX)
308 Systems theory; control (93-XX)
194 Calculus of variations and optimal control; optimization (49-XX)
112 Statistics (62-XX)
102 Partial differential equations (35-XX)
94 Operations research, mathematical programming (90-XX)
56 Numerical analysis (65-XX)
12 Integral equations (45-XX)
11 Operator theory (47-XX)
10 Computer science (68-XX)
8 Linear and multilinear algebra; matrix theory (15-XX)
7 Ordinary differential equations (34-XX)
7 Biology and other natural sciences (92-XX)
6 General and overarching topics; collections (00-XX)
6 Integral transforms, operational calculus (44-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Functional analysis (46-XX)
4 Measure and integration (28-XX)
4 Global analysis, analysis on manifolds (58-XX)
3 Combinatorics (05-XX)
3 Real functions (26-XX)
3 Information and communication theory, circuits (94-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
1 History and biography (01-XX)
1 Mathematical logic and foundations (03-XX)
1 Field theory and polynomials (12-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-XX)
1 Difference and functional equations (39-XX)
1 Approximations and expansions (41-XX)
1 Convex and discrete geometry (52-XX)
1 Mechanics of particles and systems (70-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

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