Erhan Bayraktar
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Erhan |
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Bayraktar |
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Contact
Affiliations
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Department of Mathematics, University of Michigan
- http://www.lsa.umich.edu/math/
- location: USA, Ann Arbor
Research profile
author of:
- Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control (RePEc:arx:papers:0704.2244)
by Erhan Bayraktar & Virginia R. Young - Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin (RePEc:arx:papers:0705.0053)
by Erhan Bayraktar & Virginia R. Young - On the Stickiness Property (RePEc:arx:papers:0801.0718)
by Erhan Bayraktar & Hasanjan Sayit - No Arbitrage Conditions For Simple Trading Strategies (RePEc:arx:papers:0801.4047)
by Erhan Bayraktar & Hasanjan Sayit - Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities (RePEc:arx:papers:0802.3250)
by Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young - Optimal Investment Strategy to Minimize Occupation Time (RePEc:arx:papers:0805.3981)
by Erhan Bayraktar & Virginia R. Young - Minimizing the Probability of Ruin when Consumption is Ratcheted (RePEc:arx:papers:0806.2358)
by Erhan Bayraktar & Virginia R. Young - Regularity of the Optimal Stopping Problem for Jump Diffusions (RePEc:arx:papers:0902.2479)
by Erhan Bayraktar & Hao Xing - Optimal Trade Execution in Illiquid Markets (RePEc:arx:papers:0902.2516)
by Erhan Bayraktar & Mike Ludkovski - Optimal Stopping for Non-linear Expectations (RePEc:arx:papers:0905.3601)
by Erhan Bayraktar & Song Yao - Strict Local Martingale Deflators and Pricing American Call-Type Options (RePEc:arx:papers:0908.1082)
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - On the uniqueness of classical solutions of Cauchy problems (RePEc:arx:papers:0908.1086)
by Erhan Bayraktar & Hao Xing - Optimal Stopping for Dynamic Convex Risk Measures (RePEc:arx:papers:0909.4948)
by Erhan Bayraktar & Ioannis Karatzas & Song Yao - On the Existence of Consistent Price Systems (RePEc:arx:papers:0911.3789)
by Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit - Minimizing the Probability of Lifetime Ruin under Stochastic Volatility (RePEc:arx:papers:1003.4216)
by Erhan Bayraktar & Xueying Hu & Virginia R. Young - Valuation equations for stochastic volatility models (RePEc:arx:papers:1004.3299)
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - Quadratic Reflected BSDEs with Unbounded Obstacles (RePEc:arx:papers:1005.3565)
by Erhan Bayraktar & Song Yao - Outperforming the market portfolio with a given probability (RePEc:arx:papers:1006.3224)
by Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song - On the Multi-Dimensional Controller and Stopper Games (RePEc:arx:papers:1009.0932)
by Erhan Bayraktar & Yu-Jui Huang - On the Stability of Utility Maximization Problems (RePEc:arx:papers:1010.4322)
by Erhan Bayraktar & Ross Kravitz - Liquidation in Limit Order Books with Controlled Intensity (RePEc:arx:papers:1105.0247)
by Erhan Bayraktar & Michael Ludkovski - Stability of exponential utility maximization with respect to market perturbations (RePEc:arx:papers:1107.2716)
by Erhan Bayraktar & Ross Kravitz - Robust maximization of asymptotic growth under covariance uncertainty (RePEc:arx:papers:1107.2988)
by Erhan Bayraktar & Yu-Jui Huang - A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems (RePEc:arx:papers:1109.5752)
by Erhan Bayraktar & Arash Fahim - Life Insurance Purchasing to Maximize Utility of Household Consumption (RePEc:arx:papers:1205.5958)
by Erhan Bayraktar & Virginia R. Young - Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin (RePEc:arx:papers:1206.6268)
by Erhan Bayraktar & Virginia R. Young - Inventory Management with Partially Observed Nonstationary Demand (RePEc:arx:papers:1206.6283)
by Erhan Bayraktar & Mike Ludkovski - A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance (RePEc:arx:papers:1210.3800)
by Nicole Bauerle & Erhan Bayraktar - On optimal dividends in the dual model (RePEc:arx:papers:1211.7365)
by Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki - On controller-stopper problems with jumps and their applications to indifference pricing of American options (RePEc:arx:papers:1212.4894)
by Erhan Bayraktar & Zhou Zhou - On the Robust Optimal Stopping Problem (RePEc:arx:papers:1301.0091)
by Erhan Bayraktar & Song Yao - On an Optimal Stopping Problem of an Insider (RePEc:arx:papers:1301.3100)
by Erhan Bayraktar & Zhou Zhou - On model-independent pricing/hedging using shortfall risk and quantiles (RePEc:arx:papers:1307.2493)
by Erhan Bayraktar & Zhou Zhou - On utility maximization with derivatives under model uncertainty (RePEc:arx:papers:1307.4813)
by Erhan Bayraktar & Zhou Zhou - Weak reflection principle for L\'evy processes (RePEc:arx:papers:1308.2250)
by Erhan Bayraktar & Sergey Nadtochiy - Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty (RePEc:arx:papers:1309.1420)
by Erhan Bayraktar & Yuchong Zhang - A note on the Fundamental Theorem of Asset Pricing under model uncertainty (RePEc:arx:papers:1309.2728)
by Erhan Bayraktar & Yuchong Zhang & Zhou Zhou - On hedging American options under model uncertainty (RePEc:arx:papers:1309.2982)
by Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou - On the Market Viability under Proportional Transaction Costs (RePEc:arx:papers:1312.3917)
by Erhan Bayraktar & Xiang Yu - Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion (RePEc:arx:papers:1402.1809)
by Erhan Bayraktar & Yuchong Zhang - On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints (RePEc:arx:papers:1402.2596)
by Erhan Bayraktar & Zhou Zhou - Purchasing Life Insurance to Reach a Bequest Goal (RePEc:arx:papers:1402.5300)
by Erhan Bayraktar & David Promislow & Virginia Young - Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs (RePEc:arx:papers:1404.7406)
by Erhan Bayraktar & Yuchong Zhang - Comparing the $G$-Normal Distribution to its Classical Counterpart (RePEc:arx:papers:1407.5139)
by Erhan Bayraktar & Alexander Munk - On Zero-sum Optimal Stopping Games (RePEc:arx:papers:1408.3692)
by Erhan Bayraktar & Zhou Zhou - Quantile Hedging in a Semi-Static Market with Model Uncertainty (RePEc:arx:papers:1408.4848)
by Erhan Bayraktar & Gu Wang - Stochastic Perron for stochastic target games (RePEc:arx:papers:1408.6799)
by Erhan Bayraktar & Jiaqi Li - On a Stopping Game in continuous time (RePEc:arx:papers:1409.6773)
by Erhan Bayraktar & Zhou Zhou - An $\alpha$-stable limit theorem under sublinear expectation (RePEc:arx:papers:1409.7960)
by Erhan Bayraktar & Alexander Munk - Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games (RePEc:arx:papers:1412.2053)
by Erhan Bayraktar & Song Yao - Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming (RePEc:arx:papers:1412.2262)
by Erhan Bayraktar & David Promislow & Virginia Young - Arbitrage, hedging and utility maximization using semi-static trading strategies with American options (RePEc:arx:papers:1502.06681)
by Erhan Bayraktar & Zhou Zhou - Optimally Investing to Reach a Bequest Goal (RePEc:arx:papers:1503.00961)
by Erhan Bayraktar & Virginia R. Young - Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case (RePEc:arx:papers:1503.02237)
by Erhan Bayraktar & Virginia R. Young & David Promislow - Risk Sensitive Control of the Lifetime Ruin Problem (RePEc:arx:papers:1503.05769)
by Erhan Bayraktar & Asaf Cohen - Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices (RePEc:arx:papers:1504.00310)
by Erhan Bayraktar & Xiang Yu - Optimal Stopping with Random Maturity under Nonlinear Expectations (RePEc:arx:papers:1505.07533)
by Erhan Bayraktar & Song Yao - Optimal Investment to Minimize the Probability of Drawdown (RePEc:arx:papers:1506.00166)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - On the Robust Dynkin Game (RePEc:arx:papers:1506.09184)
by Erhan Bayraktar & Song Yao - Minimizing the Probability of Lifetime Drawdown under Constant Consumption (RePEc:arx:papers:1507.08713)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption (RePEc:arx:papers:1508.01914)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - A rank based mean field game in the strong formulation (RePEc:arx:papers:1603.06312)
by Erhan Bayraktar & Yuchong Zhang - Distribution-Constrained Optimal Stopping (RePEc:arx:papers:1604.03042)
by Erhan Bayraktar & Christopher W. Miller - Stochastic Perron for Stochastic Target Problems (RePEc:arx:papers:1604.03906)
by Erhan Bayraktar & Jiaqi Li - Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty (RePEc:arx:papers:1604.04608)
by Erhan Bayraktar & Zhou Zhou - No-arbitrage and hedging with liquid American options (RePEc:arx:papers:1605.01327)
by Erhan Bayraktar & Zhou Zhou - High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering (RePEc:arx:papers:1605.03653)
by Erhan Bayraktar & Alexander Munk - Mini-Flash Crashes, Model Risk, and Optimal Execution (RePEc:arx:papers:1705.09827)
by Erhan Bayraktar & Alexander Munk - Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case (RePEc:arx:papers:1802.08358)
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou - Transport plans with domain constraints (RePEc:arx:papers:1804.04283)
by Erhan Bayraktar & Xin Zhang & Zhou Zhou - Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates (RePEc:arx:papers:1806.07499)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - On the quasi-sure superhedging duality with frictions (RePEc:arx:papers:1809.07516)
by Erhan Bayraktar & Matteo Burzoni - Continuity of Utility Maximization under Weak Convergence (RePEc:arx:papers:1811.01420)
by Erhan Bayraktar & Yan Dolinsky & Jia Guo - Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case (RePEc:arx:papers:1811.06650)
by Erhan Bayraktar & Thomas Caye & Ibrahim Ekren - On non-uniqueness in mean field games (RePEc:arx:papers:1908.06207)
by Erhan Bayraktar & Xin Zhang - Equilibrium concepts for time-inconsistent stopping problems in continuous time (RePEc:arx:papers:1909.01112)
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou - Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs (RePEc:arx:papers:1912.08863)
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky - McKean-Vlasov equations involving hitting times: blow-ups and global solvability (RePEc:arx:papers:2010.14646)
by Erhan Bayraktar & Gaoyue Guo & Wenpin Tang & Yuming Zhang - On the Continuity of the Root Barrier (RePEc:arx:papers:2010.14695)
by Erhan Bayraktar & Thomas Bernhardt - Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case (RePEc:arx:papers:2012.02277)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - Optimal Investment and Consumption under a Habit-Formation Constraint (RePEc:arx:papers:2102.03414)
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young - A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios (RePEc:arx:papers:2107.01568)
by Erhan Bayraktar & Christoph Czichowsky & Leonid Dolinskyi & Yan Dolinsky - Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes (RePEc:arx:papers:2201.07659)
by Erhan Bayraktar & Zhenhua Wang & Zhou Zhou - Nonparametric Adaptive Robust Control Under Model Uncertainty (RePEc:arx:papers:2202.10391)
by Erhan Bayraktar & Tao Chen - Data-Driven Nonparametric Robust Control under Dependence Uncertainty (RePEc:arx:papers:2209.04976)
by Erhan Bayraktar & Tao Chen - Deep Signature Algorithm for Multi-dimensional Path-Dependent Options (RePEc:arx:papers:2211.11691)
by Erhan Bayraktar & Qi Feng & Zhaoyu Zhang - Arbitrage theory in a market of stochastic dimension (RePEc:arx:papers:2212.04623)
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - Systemic robustness: a mean-field particle system approach (RePEc:arx:papers:2212.08518)
by Erhan Bayraktar & Gaoyue Guo & Wenpin Tang & Yuming Paul Zhang - Supermartingale Brenier's Theorem with full-marginals constraint (RePEc:arx:papers:2212.14174)
by Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas - Quantifying dimensional change in stochastic portfolio theory (RePEc:arx:papers:2303.00858)
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - Fitted Value Iteration Methods for Bicausal Optimal Transport (RePEc:arx:papers:2306.12658)
by Erhan Bayraktar & Bingyan Han - The McCormick martingale optimal transport (RePEc:arx:papers:2401.15552)
by Erhan Bayraktar & Bingyan Han & Dominykas Norgilas - DEX Specs: A Mean Field Approach to DeFi Currency Exchanges (RePEc:arx:papers:2404.09090)
by Erhan Bayraktar & Asaf Cohen & April Nellis - Two-fund separation under hyperbolically distributed returns and concave utility function (RePEc:arx:papers:2410.04459)
by Nuerxiati Abudurexiti & Erhan Bayraktar & Takaki Hayashi & Hasanjan Sayit - On the mean-field limit of diffusive games through the master equation: extreme value analysis (RePEc:arx:papers:2410.18869)
by Erhan Bayraktar & Nikolaos Kolliopoulos - Sequential optimal contracting in continuous time (RePEc:arx:papers:2411.04262)
by Guillermo Alonso Alvarez & Erhan Bayraktar & Ibrahim Ekren & Liwei Huang - Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio (RePEc:arx:papers:math/0701650)
by Erhan Bayraktar & Virginia R. Young - On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps (RePEc:arx:papers:math/0703538)
by Erhan Bayraktar - A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions (RePEc:arx:papers:math/0703782)
by Erhan Bayraktar - Correspondence between Lifetime Minimum Wealth and Utility of Consumption (RePEc:arx:papers:math/0703820)
by Erhan Bayraktar & Virginia R. Young - Optimizing Venture Capital Investments in a Jump Diffusion Model (RePEc:arx:papers:math/0703823)
by Erhan Bayraktar & Masahiko Egami - Minimizing the Lifetime Shortfall or Shortfall at Death (RePEc:arx:papers:math/0703824)
by Erhan Bayraktar - A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays (RePEc:arx:papers:math/0703825)
by Erhan Bayraktar & Masahiko Egami - Optimal Time to Change Premiums (RePEc:arx:papers:math/0703828)
by Erhan Bayraktar & H. Vincent Poor - A Limit Theorem for Financial Markets with Inert Investors (RePEc:arx:papers:math/0703831)
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - Queueing Theoretic Approaches to Financial Price Fluctuations (RePEc:arx:papers:math/0703832)
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar - The Effects of Implementation Delay on Decision-Making Under Uncertainty (RePEc:arx:papers:math/0703833)
by Erhan Bayraktar & Masahiko Egami - Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis (RePEc:arx:papers:math/0703834)
by Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar - Minimizing the Probability of Lifetime Ruin under Borrowing Constraints (RePEc:arx:papers:math/0703850)
by Erhan Bayraktar & Virginia R. Young - Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin (RePEc:arx:papers:math/0703862)
by Erhan Bayraktar & Virginia R. Young - Liquidation In Limit Order Books With Controlled Intensity (RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650)
by Erhan Bayraktar & Michael Ludkovski - On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints (RePEc:bla:mathfi:v:27:y:2017:i:4:p:988-1012)
by Erhan Bayraktar & Zhou Zhou - On the market viability under proportional transaction costs (RePEc:bla:mathfi:v:28:y:2018:i:3:p:800-838)
by Erhan Bayraktar & Xiang Yu - Distribution‐constrained optimal stopping (RePEc:bla:mathfi:v:29:y:2019:i:1:p:368-406)
by Erhan Bayraktar & Christopher W. Miller - Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case (RePEc:bla:mathfi:v:31:y:2021:i:1:p:36-108)
by Erhan Bayraktar & Thomas Cayé & Ibrahim Ekren - Equilibrium concepts for time‐inconsistent stopping problems in continuous time (RePEc:bla:mathfi:v:31:y:2021:i:1:p:508-530)
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou - Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes (RePEc:bla:mathfi:v:33:y:2023:i:3:p:797-841)
by Erhan Bayraktar & Zhenhua Wang & Zhou Zhou - Arbitrage theory in a market of stochastic dimension (RePEc:bla:mathfi:v:34:y:2024:i:3:p:847-895)
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - Quantifying dimensional change in stochastic portfolio theory (RePEc:bla:mathfi:v:34:y:2024:i:3:p:977-1021)
by Erhan Bayraktar & Donghan Kim & Abhishek Tilva - On Optimal Dividends In The Dual Model (RePEc:cup:astinb:v:43:y:2013:i:03:p:359-372_00)
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi - Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities (RePEc:eee:dyncon:v:33:y:2009:i:3:p:676-691)
by Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R. - Minimizing the expected lifetime spent in drawdown under proportional consumption (RePEc:eee:finlet:v:15:y:2015:i:c:p:106-114)
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R. - Mutual fund theorems when minimizing the probability of lifetime ruin (RePEc:eee:finlet:v:5:y:2008:i:2:p:69-78)
by Bayraktar, Erhan & Young, Virginia R. - Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin (RePEc:eee:finlet:v:5:y:2008:i:4:p:204-212)
by Bayraktar, Erhan & Young, Virginia R. - Hedging life insurance with pure endowments (RePEc:eee:insuma:v:40:y:2007:i:3:p:435-444)
by Bayraktar, Erhan & Young, Virginia R. - Minimizing the probability of lifetime ruin under borrowing constraints (RePEc:eee:insuma:v:41:y:2007:i:1:p:196-221)
by Bayraktar, Erhan & Young, Virginia R. - Minimizing the lifetime shortfall or shortfall at death (RePEc:eee:insuma:v:44:y:2009:i:3:p:447-458)
by Bayraktar, Erhan & Young, Virginia R. - Minimizing the probability of lifetime ruin under stochastic volatility (RePEc:eee:insuma:v:49:y:2011:i:2:p:194-206)
by Bayraktar, Erhan & Hu, Xueying & Young, Virginia R. - Optimal dividends in the dual model under transaction costs (RePEc:eee:insuma:v:54:y:2014:i:c:p:133-143)
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi - Optimal reinsurance and investment with unobservable claim size and intensity (RePEc:eee:insuma:v:55:y:2014:i:c:p:156-166)
by Liang, Zhibin & Bayraktar, Erhan - Purchasing life insurance to reach a bequest goal (RePEc:eee:insuma:v:58:y:2014:i:c:p:204-216)
by Bayraktar, Erhan & Promislow, S. David & Young, Virginia R. - Minimizing the probability of lifetime drawdown under constant consumption (RePEc:eee:insuma:v:69:y:2016:i:c:p:210-223)
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R. - Optimally investing to reach a bequest goal (RePEc:eee:insuma:v:70:y:2016:i:c:p:1-10)
by Bayraktar, Erhan & Young, Virginia R. - The standard Poisson disorder problem revisited (RePEc:eee:spapps:v:115:y:2005:i:9:p:1437-1450)
by Bayraktar, Erhan & Dayanik, Savas & Karatzas, Ioannis - The effects of implementation delay on decision-making under uncertainty (RePEc:eee:spapps:v:117:y:2007:i:3:p:333-358)
by Bayraktar, Erhan & Egami, Masahiko - Sequential tracking of a hidden Markov chain using point process observations (RePEc:eee:spapps:v:119:y:2009:i:6:p:1792-1822)
by Bayraktar, Erhan & Ludkovski, Michael - Optimal stopping for non-linear expectations--Part I (RePEc:eee:spapps:v:121:y:2011:i:2:p:185-211)
by Bayraktar, Erhan & Yao, Song - Optimal stopping for non-linear expectations--Part II (RePEc:eee:spapps:v:121:y:2011:i:2:p:212-264)
by Bayraktar, Erhan & Yao, Song - Quadratic reflected BSDEs with unbounded obstacles (RePEc:eee:spapps:v:122:y:2012:i:4:p:1155-1203)
by Bayraktar, Erhan & Yao, Song - Stability of exponential utility maximization with respect to market perturbations (RePEc:eee:spapps:v:123:y:2013:i:5:p:1671-1690)
by Bayraktar, Erhan & Kravitz, Ross - Doubly reflected BSDEs with integrable parameters and related Dynkin games (RePEc:eee:spapps:v:125:y:2015:i:12:p:4489-4542)
by Bayraktar, Erhan & Yao, Song - Optimal stopping with random maturity under nonlinear expectations (RePEc:eee:spapps:v:127:y:2017:i:8:p:2586-2629)
by Bayraktar, Erhan & Yao, Song - Embedding of Walsh Brownian motion (RePEc:eee:spapps:v:134:y:2021:i:c:p:1-28)
by Bayraktar, Erhan & Zhang, Xin - Mean field interaction on random graphs with dynamically changing multi-color edges (RePEc:eee:spapps:v:141:y:2021:i:c:p:197-244)
by Bayraktar, Erhan & Wu, Ruoyu - Stationarity and uniform in time convergence for the graphon particle system (RePEc:eee:spapps:v:150:y:2022:i:c:p:532-568)
by Bayraktar, Erhan & Wu, Ruoyu - Graphon particle system: Uniform-in-time concentration bounds (RePEc:eee:spapps:v:156:y:2023:i:c:p:196-225)
by Bayraktar, Erhan & Wu, Ruoyu - Stochastic control/stopping problem with expectation constraints (RePEc:eee:spapps:v:176:y:2024:i:c:s0304414924001364)
by Bayraktar, Erhan & Yao, Song - Valuation equations for stochastic volatility models (RePEc:ehl:lserod:43460)
by Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao - A Macroeconomic SIR Model for COVID-19 (RePEc:gam:jmathe:v:9:y:2021:i:16:p:1901-:d:611506)
by Erhan Bayraktar & Asaf Cohen & April Nellis - A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty (RePEc:gam:jrisks:v:2:y:2014:i:4:p:425-433:d:41048)
by Erhan Bayraktar & Yuchong Zhang & Zhou Zhou - Unknown item RePEc:inm:ormoor:v:31:y:2006:i:2:p:217-233 (article)
- Unknown item RePEc:inm:ormoor:v:31:y:2006:i:4:p:789-810 (article)
- Unknown item RePEc:inm:ormoor:v:33:y:2008:i:2:p:336-350 (article)
- Unknown item RePEc:inm:ormoor:v:35:y:2010:i:1:p:140-159 (article)
- Unknown item RePEc:inm:ormoor:v:41:y:2016:i:3:p:1039-1054 (article)
- No-Arbitrage and Hedging with Liquid American Options (RePEc:inm:ormoor:v:44:y:2019:i:2:p:468-486)
by Erhan Bayraktar & Zhou Zhou - Terminal Ranking Games (RePEc:inm:ormoor:v:46:y:2021:i:4:p:1349-1365)
by Erhan Bayraktar & Yuchong Zhang - Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games (RePEc:inm:ormoor:v:47:y:2022:i:4:p:2840-2890)
by Erhan Bayraktar & Alekos Cecchin & Asaf Cohen & François Delarue - Pricing options in incomplete equity markets via the instantaneous Sharpe ratio (RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429)
by Erhan Bayraktar & Virginia Young - No arbitrage conditions for simple trading strategies (RePEc:kap:annfin:v:6:y:2010:i:1:p:147-156)
by Erhan Bayraktar & Hasanjan Sayit - Optimal investment strategy to minimize occupation time (RePEc:spr:annopr:v:176:y:2010:i:1:p:389-408:10.1007/s10479-008-0467-2)
by Erhan Bayraktar & Virginia Young - Inventory management with partially observed nonstationary demand (RePEc:spr:annopr:v:176:y:2010:i:1:p:7-39:10.1007/s10479-009-0513-8)
by Erhan Bayraktar & Michael Ludkovski - Correspondence between lifetime minimum wealth and utility of consumption (RePEc:spr:finsto:v:11:y:2007:i:2:p:213-236)
by Erhan Bayraktar & Virginia Young - Proving regularity of the minimal probability of ruin via a game of stopping and control (RePEc:spr:finsto:v:15:y:2011:i:4:p:785-818)
by Erhan Bayraktar & Virginia Young - Strict local martingale deflators and valuing American call-type options (RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291)
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing - On the quasi-sure superhedging duality with frictions (RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00411-5)
by Erhan Bayraktar & Matteo Burzoni - Extended weak convergence and utility maximisation with proportional transaction costs (RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0)
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky - Stochastic Perron for Stochastic Target Problems (RePEc:spr:joptap:v:170:y:2016:i:3:d:10.1007_s10957-016-0958-2)
by Erhan Bayraktar & Jiaqi Li - Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics (RePEc:spr:mathfi:v:18:y:2024:i:2:d:10.1007_s11579-023-00351-x)
by Erhan Bayraktar & Indrajit Mitra & Jingjie Zhang - Optimizing venture capital investments in a jump diffusion model (RePEc:spr:mathme:v:67:y:2008:i:1:p:21-42)
by Erhan Bayraktar & Masahiko Egami - Optimal time to change premiums (RePEc:spr:mathme:v:68:y:2008:i:1:p:125-158)
by Erhan Bayraktar & H. Poor - Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (RePEc:spr:mathme:v:70:y:2009:i:3:p:505-525)
by Erhan Bayraktar & Hao Xing - A unified treatment of dividend payment problems under fixed cost and implementation delays (RePEc:spr:mathme:v:71:y:2010:i:2:p:325-351)
by Erhan Bayraktar & Masahiko Egami - Quantile Hedging in a semi-static market with model uncertainty (RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0616-y)
by Erhan Bayraktar & Gu Wang - Consistency Problems for Jump-diffusion Models (RePEc:taf:apmtfi:v:12:y:2005:i:2:p:101-119)
by Erhan Bayraktar & Li Chen & H. Vincent Poor - Pricing Options on Defaultable Stocks (RePEc:taf:apmtfi:v:15:y:2008:i:3:p:277-304)
by E. Bayraktar - Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives (RePEc:taf:apmtfi:v:16:y:2009:i:5:p:429-449)
by Erhan Bayraktar & Bo Yang - On the stickiness property (RePEc:taf:quantf:v:10:y:2010:i:10:p:1109-1112)
by Erhan Bayraktar & Hasanjan Sayit - On the perpetual American put options for level dependent volatility models with jumps (RePEc:taf:quantf:v:11:y:2009:i:3:p:335-341)
by Erhan Bayraktar - Minimizing the Probability of Lifetime Ruin under Random Consumption (RePEc:taf:uaajxx:v:12:y:2008:i:4:p:384-400)
by Erhan Bayraktar & Kristen Moore & Virginia Young - Minimizing the Probability of Ruin When Consumption is Ratcheted (RePEc:taf:uaajxx:v:12:y:2008:i:4:p:428-442)
by Erhan Bayraktar & Virginia Young - Relative Hedging of Systematic Mortality Risk (RePEc:taf:uaajxx:v:13:y:2009:i:1:p:106-140)
by Michael Ludkovski & Erhan Bayraktar - Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities (RePEc:taf:uaajxx:v:13:y:2009:i:1:p:141-154)
by Erhan Bayraktar & Virginia Young - Life Insurance Purchasing to Maximize Utility of Household Consumption (RePEc:taf:uaajxx:v:17:y:2013:i:2:p:114-135)
by Erhan Bayraktar & Virginia Young - Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case (RePEc:taf:uaajxx:v:19:y:2015:i:3:p:224-236)
by Erhan Bayraktar & S. David Promislow & Virginia R. Young - Projecting the Forward Rate Flow on a Finite Dimensional Manifold (RePEc:wpa:wuwpfi:0303007)
by Erhan Bayraktar & Li Chen & H. Vincent Poor - Consistency Problems For Jump-Diffusion Models (RePEc:wpa:wuwpfi:0304003)
by Li Chen & Erhan Bayraktar & H. Vincent Poor - Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis (RePEc:wsi:ijtafx:v:07:y:2004:i:05:n:s021902490400258x)
by Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar - Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic (RePEc:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003037)
by Erhan Bayraktar & H. Vincent Poor - Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold (RePEc:wsi:ijtafx:v:09:y:2006:i:05:n:s0219024906003743)
by Erhan Bayraktar & Li Chen & H. Vincent Poor - Super-Hedging American Options With Semi-Static Trading Strategies Under Model Uncertainty (RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364)
by Erhan Bayraktar & Zhou Zhou - Data-Driven Non-Parametric Robust Control under Dependence Uncertainty (RePEc:wsi:wschap:9789811280306_0005)
by Erhan Bayraktar & Tao Chen - Supermartingale Brenier’s Theorem with Full-Marginal Constraint (RePEc:wsi:wschap:9789811280306_0017)
by Erhan Bayraktar & Shuoqing Deng & Dominykas Norgilas