Erhan Bayraktar
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Erhan 
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Bayraktar 
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Department of Mathematics, University of Michigan
Research profile
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Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young

Optimal Investment Strategy to Minimize Occupation Time
by Erhan Bayraktar & Virginia R. Young

Optimal Stopping for Dynamic Convex Risk Measures
by Erhan Bayraktar & Ioannis Karatzas & Song Yao

On utility maximization with derivatives under model uncertainty
by Erhan Bayraktar & Zhou Zhou

MultiScale TimeChanged Birth Processes for Pricing MultiName Credit Derivatives
by Erhan Bayraktar & Bo Yang

Optimizing Venture Capital Investments in a Jump Diffusion Model
by Erhan Bayraktar & Masahiko Egami

Optimal dividends in the dual model under transaction costs
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi

Optimal Trade Execution in Illiquid Markets
by Erhan Bayraktar & Mike Ludkovski

On the uniqueness of classical solutions of Cauchy problems
by Erhan Bayraktar & Hao Xing

On hedging American options under model uncertainty
by Erhan Bayraktar & YuJui Huang & Zhou Zhou

Optimal Time to Change Premiums
by Erhan Bayraktar & H. Vincent Poor

Optimal Stopping for Nonlinear Expectations
by Erhan Bayraktar & Song Yao

Outperforming the market portfolio with a given probability
by Erhan Bayraktar & YuJui Huang & Qingshuo Song

On the perpetual American put options for level dependent volatility models with jumps
by Erhan Bayraktar

On the Market Viability under Proportional Transaction Costs
by Erhan Bayraktar & Xiang Yu

On the stickiness property
by Erhan Bayraktar & Hasanjan Sayit

On optimal dividends in the dual model
by Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki

On modelindependent pricing/hedging using shortfall risk and quantiles
by Erhan Bayraktar & Zhou Zhou

Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
by Erhan Bayraktar & Virginia Young

Optimal stopping for nonlinear expectationsPart II
by Bayraktar, Erhan & Yao, Song

On the Stability of Utility Maximization Problems
by Erhan Bayraktar & Ross Kravitz

Optimal stopping for nonlinear expectationsPart I
by Bayraktar, Erhan & Yao, Song

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
by Erhan Bayraktar

Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
by Erhan Bayraktar & Virginia R. Young

Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young

Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
by Erhan Bayraktar & Virginia R. Young

No arbitrage conditions for simple trading strategies
by Erhan Bayraktar & Hasanjan Sayit

On an Optimal Stopping Problem of an Insider
by Erhan Bayraktar & Zhou Zhou

Pricing Options on Defaultable Stocks
by E. Bayraktar

No Arbitrage Conditions For Simple Trading Strategies
by Erhan Bayraktar & Hasanjan Sayit

Mutual fund theorems when minimizing the probability of lifetime ruin
by Bayraktar, Erhan & Young, Virginia R.

On the MultiDimensional Controller and Stopper Games
by Erhan Bayraktar & YuJui Huang

On the Existence of Consistent Price Systems
by Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit

On controllerstopper problems with jumps and their applications to indifference pricing of American options
by Erhan Bayraktar & Zhou Zhou

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
by Erhan Bayraktar & Virginia R. Young

Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
by Erhan Bayraktar & Virginia R. Young

Minimizing the probability of lifetime ruin under stochastic volatility
by Bayraktar, Erhan & Hu, Xueying & Young, Virginia R.

Minimizing the Probability of Ruin when Consumption is Ratcheted
by Erhan Bayraktar & Virginia R. Young

Minimizing the Lifetime Shortfall or Shortfall at Death
by Erhan Bayraktar

Proving regularity of the minimal probability of ruin via a game of stopping and control
by Erhan Bayraktar & Virginia Young

Life Insurance Purchasing to Maximize Utility of Household Consumption
by Erhan Bayraktar & Virginia R. Young

Liquidation in Limit Order Books with Controlled Intensity
by Erhan Bayraktar & Michael Ludkovski

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
by Erhan Bayraktar & Xueying Hu & Virginia R. Young

Minimizing the probability of lifetime ruin under borrowing constraints
by Bayraktar, Erhan & Young, Virginia R.

Projecting the Forward Rate Flow on a Finite Dimensional Manifold
by Erhan Bayraktar & Li Chen & H. Vincent Poor

Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
by Bayraktar, Erhan & Young, Virginia R.

Quadratic reflected BSDEs with unbounded obstacles
by Bayraktar, Erhan & Yao, Song

Quadratic Reflected BSDEs with Unbounded Obstacles
by Erhan Bayraktar & Song Yao

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
by Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young

Weak reflection principle for L\'evy processes
by Erhan Bayraktar & Sergey Nadtochiy

Valuation equations for stochastic volatility models
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing

Inventory Management with Partially Observed Nonstationary Demand
by Erhan Bayraktar & Mike Ludkovski

Queueing Theoretic Approaches to Financial Price Fluctuations
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
by Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R.

Strict local martingale deflators and valuing American calltype options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing

Regularity of the Optimal Stopping Problem for Jump Diffusions
by Erhan Bayraktar & Hao Xing

Strict Local Martingale Deflators and Pricing American CallType Options
by Erhan Bayraktar & Constantinos Kardaras & Hao Xing

Minimizing the lifetime shortfall or shortfall at death
by Bayraktar, Erhan & Young, Virginia R.

Stability of exponential utility maximization with respect to market perturbations
by Bayraktar, Erhan & Kravitz, Ross

On the Stickiness Property
by Erhan Bayraktar & Hasanjan Sayit

Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
by Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar

A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
by Erhan Bayraktar & Masahiko Egami

Hedging life insurance with pure endowments
by Bayraktar, Erhan & Young, Virginia R.

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
by Erhan Bayraktar & Yuchong Zhang

Sequential tracking of a hidden Markov chain using point process observations
by Bayraktar, Erhan & Ludkovski, Michael

Stability of exponential utility maximization with respect to market perturbations
by Erhan Bayraktar & Ross Kravitz

A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
by Erhan Bayraktar & Arash Fahim

Robust maximization of asymptotic growth under covariance uncertainty
by Erhan Bayraktar & YuJui Huang

The standard Poisson disorder problem revisited
by Bayraktar, Erhan & Dayanik, Savas & Karatzas, Ioannis

On the Robust Optimal Stopping Problem
by Erhan Bayraktar & Song Yao

A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
by Erhan Bayraktar

Consistency Problems for Jumpdiffusion Models
by Erhan Bayraktar & Li Chen & H. Vincent Poor

The effects of implementation delay on decisionmaking under uncertainty
by Bayraktar, Erhan & Egami, Masahiko

A note on the Fundamental Theorem of Asset Pricing under model uncertainty
by Erhan Bayraktar & Yuchong Zhang & Zhou Zhou

Correspondence between lifetime minimum wealth and utility of consumption
by Erhan Bayraktar & Virginia Young

Correspondence between Lifetime Minimum Wealth and Utility of Consumption
by Erhan Bayraktar & Virginia R. Young

Consistency Problems For JumpDiffusion Models
by Li Chen & Erhan Bayraktar & H. Vincent Poor

A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
by Nicole Bauerle & Erhan Bayraktar

The Effects of Implementation Delay on DecisionMaking Under Uncertainty
by Erhan Bayraktar & Masahiko Egami

A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
by Erhan Bayraktar & Zhou Zhou

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
by Erhan Bayraktar & Yuchong Zhang

Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
by Erhan Bayraktar & Yuchong Zhang

Optimal reinsurance and investment with unobservable claim size and intensity
by Liang, Zhibin & Bayraktar, Erhan

Purchasing Life Insurance to Reach a Bequest Goal
by Erhan Bayraktar & David Promislow & Virginia Young

Stochastic Perron for stochastic target games
by Erhan Bayraktar & Jiaqi Li

On Zerosum Optimal Stopping Games
by Erhan Bayraktar & Zhou Zhou

Quantile Hedging in a SemiStatic Market with Model Uncertainty
by Erhan Bayraktar & Gu Wang

Comparing the $G$Normal Distribution to its Classical Counterpart
by Erhan Bayraktar & Alexander Munk

On a Stopping Game in continuous time
by Erhan Bayraktar & Zhou Zhou

An $\alpha$stable limit theorem under sublinear expectation
by Erhan Bayraktar & Alexander Munk

Purchasing life insurance to reach a bequest goal
by Bayraktar, Erhan & Promislow, S. David & Young, Virginia R.

Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
by Erhan Bayraktar & Hao Xing

Optimizing venture capital investments in a jump diffusion model
by Erhan Bayraktar & Masahiko Egami

Optimal time to change premiums
by Erhan Bayraktar & H. Poor

A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
by Erhan Bayraktar & Yuchong Zhang & Zhou Zhou

A unified treatment of dividend payment problems under fixed cost and implementation delays
by Erhan Bayraktar & Masahiko Egami

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
by Erhan Bayraktar & David Promislow & Virginia Young

Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
by Erhan Bayraktar & Song Yao

Valuation equations for stochastic volatility models
by Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao

Arbitrage, hedging and utility maximization using semistatic trading strategies with American options
by Erhan Bayraktar & Zhou Zhou

Purchasing Term Life Insurance to Reach a Bequest Goal: TimeDependent Case
by Erhan Bayraktar & Virginia R. Young & David Promislow

Risk Sensitive Control of the Lifetime Ruin Problem
by Erhan Bayraktar & Asaf Cohen

Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
by Erhan Bayraktar & Xiang Yu

Optimally Investing to Reach a Bequest Goal
by Erhan Bayraktar & Virginia R. Young

On the Robust Dynkin Game
by Erhan Bayraktar & Song Yao

Optimal Stopping with Random Maturity under Nonlinear Expectations
by Erhan Bayraktar & Song Yao

Optimal Investment to Minimize the Probability of Drawdown
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young

Minimizing the Probability of Lifetime Drawdown under Constant Consumption
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young

Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young

Doubly reflected BSDEs with integrable parameters and related Dynkin games
by Bayraktar, Erhan & Yao, Song

Minimizing the expected lifetime spent in drawdown under proportional consumption
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R.

LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
by Erhan Bayraktar & Michael Ludkovski

Inventory management with partially observed nonstationary demand
by Erhan Bayraktar & Michael Ludkovski

Optimal investment strategy to minimize occupation time
by Erhan Bayraktar & Virginia Young

A rank based mean field game in the strong formulation
by Erhan Bayraktar & Yuchong Zhang

DistributionConstrained Optimal Stopping
by Erhan Bayraktar & Christopher W. Miller

Superhedging American Options with Semistatic Trading Strategies under Model Uncertainty
by Erhan Bayraktar & Zhou Zhou

ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
by Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi

Noarbitrage and hedging with liquid American options
by Erhan Bayraktar & Zhou Zhou

Stochastic Perron for Stochastic Target Problems
by Erhan Bayraktar & Jiaqi Li

HighRoller Impact: A Large Generalized Game Model of Parimutuel Wagering
by Erhan Bayraktar & Alexander Munk

Minimizing the probability of lifetime drawdown under constant consumption
by Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R.

Optimally investing to reach a bequest goal
by Bayraktar, Erhan & Young, Virginia R.

Poisson Disorder Problem with Exponential Penalty for Delay
by Erhan Bayraktar & Savas Dayanik

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
by Erhan Bayraktar & Yuchong Zhang

A Limit Theorem for Financial Markets with Inert Investors
by Erhan Bayraktar & Ulrich Horst & Ronnie Sircar

An Analysis of Monotone Follower Problems for Diffusion Processes
by Erhan Bayraktar & Masahiko Egami

On the OneDimensional Optimal Switching Problem
by Erhan Bayraktar & Masahiko Egami

PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
by ERHAN BAYRAKTAR & LI CHEN & H. VINCENT POOR

MiniFlash Crashes, Model Risk, and Optimal Execution
by Erhan Bayraktar & Alexander Munk

ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
by ERHAN BAYRAKTAR & H. VINCENT POOR

Optimal stopping with random maturity under nonlinear expectations
by Bayraktar, Erhan & Yao, Song

SUPERHEDGING AMERICAN OPTIONS WITH SEMISTATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
by ERHAN BAYRAKTAR & ZHOU ZHOU

ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
by ERHAN BAYRAKTAR & H. VINCENT POOR & K. RONNIE SIRCAR

ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
by Erhan Bayraktar & Zhou Zhou

Time Consistent Stopping For The MeanStandard Deviation Problem  The Discrete Time Case
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou

Transport plans with domain constraints
by Erhan Bayraktar & Xin Zhang & Zhou Zhou

Stochastic Perron for Stochastic Target Problems
by Erhan Bayraktar & Jiaqi Li

Quantile Hedging in a semistatic market with model uncertainty
by Erhan Bayraktar & Gu Wang

On the market viability under proportional transaction costs
by Erhan Bayraktar & Xiang Yu

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
by Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young

Relative Hedging of Systematic Mortality Risk
by Michael Ludkovski & Erhan Bayraktar

Minimizing the Probability of Ruin When Consumption is Ratcheted
by Erhan Bayraktar & Virginia Young

Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
by Erhan Bayraktar & Virginia Young

Continuity of Utility Maximization under Weak Convergence
by Erhan Bayraktar & Yan Dolinsky & Jia Guo

Minimizing the Probability of Lifetime Ruin under Random Consumption
by Erhan Bayraktar & Kristen Moore & Virginia Young

Life Insurance Purchasing to Maximize Utility of Household Consumption
by Erhan Bayraktar & Virginia Young

On the quasisure superhedging duality with frictions
by Erhan Bayraktar & Matteo Burzoni

Purchasing Term Life Insurance to Reach a Bequest Goal: TimeDependent Case
by Erhan Bayraktar & S. David Promislow & Virginia R. Young

Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case
by Erhan Bayraktar & Thomas Caye & Ibrahim Ekren

Distribution‐constrained optimal stopping
by Erhan Bayraktar & Christopher W. Miller

Equilibrium concepts for timeinconsistent stopping problems in continuous time
by Erhan Bayraktar & Jingjie Zhang & Zhou Zhou

On nonuniqueness in mean field games
by Erhan Bayraktar & Xin Zhang

On the quasisure superhedging duality with frictions
by Erhan Bayraktar & Matteo Burzoni

Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky

NoArbitrage and Hedging with Liquid American Options
by Erhan Bayraktar & Zhou Zhou

Extended weak convergence and utility maximisation with proportional transaction costs
by Erhan Bayraktar & Leonid Dolinskyi & Yan Dolinsky

On the Continuity of the Root Barrier
by Erhan Bayraktar & Thomas Bernhardt

McKeanVlasov equations involving hitting times: blowups and global solvability
by Erhan Bayraktar & Gaoyue Guo & Wenpin Tang & Yuming Zhang