Edit Profile (opens in new tab) Bayraktar, Erhan Co-Author Distance Author ID: 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: 205 Publications since 2004, including 34 Additional arXiv Preprints Co-Authors: 98 Co-Authors with 201 Joint Publications 2,471 Co-Co-Authors 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 all top 5 Fields 125 Probability theory and stochastic processes (60-XX) 121 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 53 Systems theory; control (93-XX) 46 Calculus of variations and optimal control; optimization (49-XX) 30 Partial differential equations (35-XX) 18 Statistics (62-XX) 12 Operations research, mathematical programming (90-XX) 11 Numerical analysis (65-XX) 8 Combinatorics (05-XX) 4 Information and communication theory, circuits (94-XX) 3 Integral equations (45-XX) 3 Operator theory (47-XX) 3 Computer science (68-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Mathematical logic and foundations (03-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Mechanics of particles and systems (70-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 150 Publications have been cited 1,531 times in 972 Documents Cited by ▼ Year ▼ On optimal dividends in the dual model. Zbl 1283.91192 Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 49 2013 Optimal reinsurance and investment with unobservable claim size and intensity. Zbl 1296.91161 Liang, Zhibin; Bayraktar, Erhan 48 2014 Minimizing the probability of lifetime ruin under ambiguity aversion. Zbl 1343.49028 Bayraktar, Erhan; Zhang, Yuchong 40 2015 Liquidation in limit order books with controlled intensity. Zbl 1314.91247 Bayraktar, Erhan; Ludkovski, Michael 38 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 37 2018 Analysis of a finite state many player game using its master equation. Zbl 1416.91013 Bayraktar, Erhan; Cohen, Asaf 37 2018 Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case. Zbl 1279.60056 Bayraktar, Erhan; Sîrbu, Mihai 36 2012 Optimizing venture capital investments in a jump diffusion model. Zbl 1151.91049 Bayraktar, Erhan; Egami, Masahiko 35 2008 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019 Bayraktar, Erhan; Sîrbu, Mihai 34 2013 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 Optimal dividends in the dual model under transaction costs. Zbl 1294.91071 Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi 33 2014 Adaptive Poisson disorder problem. Zbl 1104.62093 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 32 2006 Optimal stopping for non-linear expectations. I. Zbl 1221.60059 Bayraktar, Erhan; Yao, Song 29 2011 Optimal stopping for non-linear expectations. II. Zbl 1221.60060 Bayraktar, Erhan; Yao, Song 29 2011 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042 Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 29 2010 On the one-dimensional optimal switching problem. Zbl 1221.60058 Bayraktar, Erhan; Egami, Masahiko 28 2010 Minimizing the probability of lifetime ruin under borrowing constraints. Zbl 1119.91041 Bayraktar, Erhan; Young, Virginia R. 27 2007 The standard Poisson disorder problem revisited. Zbl 1070.62062 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 26 2005 On the multidimensional controller-and-stopper games. Zbl 1268.49045 Bayraktar, Erhan; Huang, Yu-Jui 26 2013 Finite state mean field games with Wright-Fisher common noise. Zbl 1459.91012 Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 26 2021 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 22 2017 Optimal trade execution in illiquid markets. Zbl 1233.91335 Bayraktar, Erhan; Ludkovski, Michael 21 2011 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 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328 Bayraktar, Erhan; Keller, Christian 17 2018 Poisson disorder problem with exponential penalty for delay. Zbl 1278.62132 Bayraktar, Erhan; Dayanik, Savas 17 2006 On the impulse control of jump diffusions. Zbl 1272.49073 Bayraktar, Erhan; Emmerling, Thomas; Menaldi, José-Luis 16 2013 Stochastic Perron’s method for the probability of lifetime ruin problem under transaction costs. Zbl 1343.93094 Bayraktar, Erhan; Zhang, Yuchong 16 2015 Robust feedback switching control: dynamic programming and viscosity solutions. Zbl 1347.49042 Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 15 2016 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051 Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 15 2004 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256 Bayraktar, Erhan; Young, Virginia 15 2008 Hedging life insurance with pure endowments. Zbl 1183.91067 Bayraktar, Erhan; Young, Virginia R. 15 2007 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 14 2016 On the robust optimal stopping problem. Zbl 1310.60040 Bayraktar, Erhan; Yao, Song 14 2014 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158 Bayraktar, Erhan; Zhang, Yuchong 14 2016 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 Quadratic reflected BSDEs with unbounded obstacles. Zbl 1268.60082 Bayraktar, Erhan; Yao, Song 14 2012 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 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 12 2016 On hedging American options under model uncertainty. Zbl 1315.91060 Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 Optimally investing to reach a bequest goal. Zbl 1371.91149 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 A limit theorem for financial markets with inert investors. Zbl 1276.91055 Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie 12 2006 Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260 Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 12 2021 A note on applications of stochastic ordering to control problems in insurance and finance. Zbl 1314.60104 Bäuerle, Nicole; Bayraktar, Erhan 11 2014 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2019 On the uniqueness of classical solutions of Cauchy problems. Zbl 1194.35012 Bayraktar, Erhan; Xing, Hao 11 2010 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 non-uniqueness in mean field games. Zbl 1444.91025 Bayraktar, Erhan; Zhang, Xin 11 2020 Sequential tracking of a hidden Markov chain using point process observations. Zbl 1163.62062 Bayraktar, Erhan; Ludkovski, Michael 10 2009 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251 Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 10 2019 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 A weak dynamic programming principle for zero-sum stochastic differential games with unbounded controls. Zbl 1272.49082 Bayraktar, Erhan; Yao, Song 9 2013 Analysis of the optimal exercise boundary of American options for jump diffusions. Zbl 1188.91209 Bayraktar, Erhan; Xing, Hao 9 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 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Zbl 1178.91189 Bayraktar, Erhan; Xing, Hao 8 2009 Continuity of utility maximization under weak convergence. Zbl 1461.91288 Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 8 2020 Quickest detection of a minimum of two Poisson disorder times. Zbl 1139.62043 Bayraktar, Erhan; Poor, H. Vincent 8 2007 Life insurance purchasing to maximize utility of household consumption. Zbl 1412.91030 Bayraktar, Erhan; Young, Virginia R. 7 2013 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716 Bayraktar, Erhan; Zhou, Zhou 7 2017 A rank-based mean field game in the strong formulation. Zbl 1415.91050 Bayraktar, Erhan; Zhang, Yuchong 7 2016 No arbitrage conditions for simple trading strategies. Zbl 1233.91303 Bayraktar, Erhan; Sayit, Hasanjan 7 2010 A proof of the smoothness of the finite time horizon American put option for jump diffusions. Zbl 1204.60033 Bayraktar, Erhan 7 2009 On the market viability under proportional transaction costs. Zbl 1411.91479 Bayraktar, Erhan; Yu, Xiang 6 2018 Purchasing term life insurance to reach a bequest goal while consuming. Zbl 1339.91105 Bayraktar, Erhan; Promislow, S. David; Young, Virginia R. 6 2016 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 A unified framework for pricing credit and equity derivatives. Zbl 1229.91330 Bayraktar, Erhan; Yang, Bo 6 2011 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 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271 Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 6 2020 Martingale optimal transport with stopping. Zbl 1405.60053 Bayraktar, Erhan; Cox, Alexander M. G.; Stoev, Yavor 5 2018 On the robust Dynkin game. Zbl 1371.60071 Bayraktar, Erhan; Yao, Song 5 2017 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006 Bayraktar, Erhan; Fahim, Arash 5 2014 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 Minimizing the probability of lifetime ruin with deferred life annuities. Zbl 1483.91178 Bayraktar, Erhan; Young, Virginia R. 5 2009 Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144 Bayraktar, Erhan; Wu, Ruoyu 5 2021 Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2022 Stochastic Perron for stochastic target games. Zbl 1337.93100 Bayraktar, Erhan; Li, Jiaqi 5 2016 Minimizing the probability of lifetime ruin under stochastic volatility. Zbl 1218.91146 Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. 5 2011 Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053 Bayraktar, Erhan; Qiu, Jinniao 5 2019 Large tournament games. Zbl 1443.91035 Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 Stability of exponential utility maximization with respect to market perturbations. Zbl 1272.91061 Bayraktar, Erhan; Kravitz, Ross 5 2013 Stochastic Perron for stochastic target problems. Zbl 1346.93394 Bayraktar, Erhan; Li, Jiaqi 4 2016 Optimal stopping with random maturity under nonlinear expectations. Zbl 1373.60078 Bayraktar, Erhan; Yao, Song 4 2017 On the controller-stopper problems with controlled jumps. Zbl 1422.91081 Bayraktar, Erhan; Li, Jiaqi 4 2019 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 On controller-stopper problems with jumps and their applications to indifference pricing of American options. Zbl 1339.60120 Bayraktar, Erhan; Zhou, Zhou 4 2014 Robust maximization of asymptotic growth under covariance uncertainty. Zbl 1287.60081 Bayraktar, Erhan; Huang, Yu-Jui 4 2013 Online change detection for a Poisson process with a phase-type change-time prior distribution. Zbl 1162.62077 Bayraktar, Erhan; Sezer, Semih 4 2009 Quickest detection with discretely controlled observations. Zbl 1309.62142 Bayraktar, Erhan; Kravitz, Ross 4 2015 Pricing options on defaultable stocks. Zbl 1142.91504 Bayraktar, E. 4 2008 No-arbitrage and hedging with liquid American options. Zbl 1433.91169 Bayraktar, Erhan; Zhou, Zhou 4 2019 Mean field control and finite agent approximation for regime-switching jump diffusions. Zbl 1518.35223 Bayraktar, Erhan; Cecchin, Alekos; Chakraborty, Prakash 3 2023 Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games. Zbl 1504.91020 Bayraktar, Erhan; Zhang, Xin 2 2023 Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. Zbl 07797366 Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 2 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 Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2022 Stationarity and uniform in time convergence for the graphon particle system. Zbl 1494.60093 Bayraktar, Erhan; Wu, Ruoyu 4 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 2 2022 Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. Zbl 1504.60061 Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 1 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. Zbl 1459.91012 Bayraktar, Erhan; Cecchin, Alekos; Cohen, Asaf; Delarue, François 26 2021 Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260 Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 12 2021 Mean field interaction on random graphs with dynamically changing multi-color edges. Zbl 1476.60144 Bayraktar, Erhan; Wu, Ruoyu 5 2021 Terminal ranking games. Zbl 1483.91030 Bayraktar, Erhan; Zhang, Yuchong 2 2021 Strong equivalence between metrics of Wasserstein type. Zbl 1483.90108 Bayraktar, Erhan; Guo, Gaoyue 2 2021 Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. Zbl 1522.91205 Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim 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 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 On non-uniqueness in mean field games. Zbl 1444.91025 Bayraktar, Erhan; Zhang, Xin 11 2020 Continuity of utility maximization under weak convergence. Zbl 1461.91288 Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 8 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271 Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 6 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 quasi-sure superhedging duality with frictions. Zbl 1433.91168 Bayraktar, Erhan; Burzoni, Matteo 3 2020 On the adversarial robustness of robust estimators. Zbl 1446.62103 Lai, Lifeng; Bayraktar, Erhan 2 2020 Finite-time 4-expert prediction problem. Zbl 1523.68053 Bayraktar, Erhan; Ekren, Ibrahim; Zhang, Xin 1 2020 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 11 2019 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 Controlled reflected SDEs and Neumann problem for backward SPDEs. Zbl 1439.60053 Bayraktar, Erhan; Qiu, Jinniao 5 2019 Large tournament games. Zbl 1443.91035 Bayraktar, Erhan; Cvitanić, Jakša; Zhang, Yuchong 5 2019 On the controller-stopper problems with controlled jumps. Zbl 1422.91081 Bayraktar, Erhan; Li, Jiaqi 4 2019 No-arbitrage and hedging with liquid American options. Zbl 1433.91169 Bayraktar, Erhan; Zhou, Zhou 4 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 Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics. Zbl 1381.93102 Bayraktar, Erhan; Cosso, Andrea; Pham, Huyên 37 2018 Analysis of a finite state many player game using its master equation. Zbl 1416.91013 Bayraktar, Erhan; Cohen, Asaf 37 2018 Path-dependent Hamilton-Jacobi equations in infinite dimensions. Zbl 1401.35328 Bayraktar, Erhan; Keller, Christian 17 2018 Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities. Zbl 1405.49021 Azimzadeh, Parsiad; Bayraktar, Erhan; Labahn, George 12 2018 On the market viability under proportional transaction costs. Zbl 1411.91479 Bayraktar, Erhan; Yu, Xiang 6 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 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 Efficient Byzantine sequential change detection. Zbl 1395.94105 Fellouris, Georgios; Bayraktar, Erhan; Lai, Lifeng 1 2018 On zero-sum optimal stopping games. Zbl 1404.49027 Bayraktar, Erhan; Zhou, Zhou 1 2018 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541 Bayraktar, Erhan; Zhou, Zhou 22 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 Optimal investment to minimize the probability of drawdown. Zbl 1367.91162 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 14 2016 Fundamental theorem of asset pricing under transaction costs and model uncertainty. Zbl 1364.91158 Bayraktar, Erhan; Zhang, Yuchong 14 2016 Minimizing the probability of lifetime drawdown under constant consumption. Zbl 1369.91160 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 12 2016 Optimally investing to reach a bequest goal. Zbl 1371.91149 Bayraktar, Erhan; Young, Virginia R. 12 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 40 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 48 2014 Liquidation in limit order books with controlled intensity. Zbl 1314.91247 Bayraktar, Erhan; Ludkovski, Michael 38 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 A stochastic approximation for fully nonlinear free boundary parabolic problems. Zbl 1297.65006 Bayraktar, Erhan; Fahim, Arash 5 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 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 49 2013 Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations. Zbl 1285.49019 Bayraktar, Erhan; Sîrbu, Mihai 34 2013 On the multidimensional controller-and-stopper games. Zbl 1268.49045 Bayraktar, Erhan; Huang, Yu-Jui 26 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 9 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 36 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 ...and 50 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,205 Authors 106 Bayraktar, Erhan 46 Young, Virginia R. 18 Yamazaki, Kazutoshi 18 Zhou, Zhou 15 Pham, Huyên 14 Cohen, Asaf 14 Liang, Zhibin 12 Huang, Yu-Jui 12 Li, Danping 12 Ludkovski, Michael 11 Liang, Xiaoqing 11 Pérez Garmendia, Jose Luis 10 Cartea, Álvaro 10 Ekström, Erik 10 Possamaï, Dylan 9 Jaimungal, Sebastian 9 Nutz, Marcel 9 Yuen, Kam Chuen 8 Avanzi, Benjamin 8 Cecchin, Alekos 8 Dayanik, Savas 8 Dolinsky, Yan 8 Lacker, Daniel 8 Wang, Wenyuan 8 Yao, Song 8 Yin, Chuancun 8 Zhang, Jianfeng 7 Azcue, Pablo 7 Belak, Christoph 7 Delarue, François 7 Gapeev, Pavel V. 7 Han, Xia 7 Jin, Zhuo 7 Karatzas, Ioannis 7 Liang, Gechun 7 Muler, Nora E. 7 Obloj, Jan K. 7 Rong, Ximin 7 Sezer, Semih Onur 7 Zhao, Hui 7 Zhou, Chao 6 Buonaguidi, Bruno 6 Carmona, René A. 6 De Angelis, Tiziano 6 Ekren, Ibrahim 6 Kardaras, Constantinos 6 Li, Bin 6 Plaksin, Anton Romanovich 6 Poor, Harold Vincent 6 Seifried, Frank Thomas 6 Song, Qingshuo 6 Xing, Hao 6 Yoshioka, Hidekazu 6 Yuan, Yu 6 Zhang, Xin 6 Zhang, Yuchong 5 Averboukh, Yuriĭ Vladimirovich 5 Bäuerle, Nicole 5 Blake, David 5 Cardaliaguet, Pierre 5 Christensen, Soren 5 Cosso, Andrea 5 Cox, Alexander Matthew Gordon 5 Fahim, Arash 5 Frostig, Esther 5 Gomoyunov, Mikhail Igorevich 5 Guo, Xin 5 Hamadene, Saïd 5 Lindensjö, Kristoffer 5 Moreno-Franco, Harold A. 5 Quenez, Marie-Claire 5 Reisinger, Christoph 5 Sayit, Hasanjan 5 Tan, Xiaolu 5 Touzi, Nizar 5 Wang, Rongming 5 Wong, Bernard 5 Wu, Ruoyu 5 Zhang, Yufei 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 Qiu, Jinniao 4 Schachermayer, Walter 4 Stettner, Łukasz 4 Sulem, Agnès ...and 1,105 more Authors all top 5 Cited in 165 Serials 78 Insurance Mathematics & Economics 74 SIAM Journal on Control and Optimization 52 Stochastic Processes and their Applications 44 The Annals of Applied Probability 43 Applied Mathematics and Optimization 37 SIAM Journal on Financial Mathematics 35 Finance and Stochastics 31 Mathematical Finance 30 Mathematics of Operations Research 18 Mathematical Methods of Operations Research 18 International Journal of Theoretical and Applied Finance 17 Journal of Computational and Applied Mathematics 17 North American Actuarial Journal 16 Quantitative Finance 16 Mathematics and Financial Economics 15 Journal of Optimization Theory and Applications 14 Advances in Applied Probability 14 Journal of Applied Probability 14 Applied Mathematical Finance 14 Scandinavian Actuarial Journal 14 Journal of Industrial and Management Optimization 14 Stochastics 13 European Journal of Operational Research 11 ASTIN Bulletin 10 Automatica 10 Annals of Operations Research 10 Communications in Statistics. 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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 ...and 65 more Serials all top 5 Cited in 36 Fields 677 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 552 Probability theory and stochastic processes (60-XX) 322 Systems theory; control (93-XX) 210 Calculus of variations and optimal control; optimization (49-XX) 116 Statistics (62-XX) 109 Partial differential equations (35-XX) 94 Operations research, mathematical programming (90-XX) 56 Numerical analysis (65-XX) 12 Integral equations (45-XX) 12 Operator theory (47-XX) 11 Computer science (68-XX) 9 Ordinary differential equations (34-XX) 8 Linear and multilinear algebra; matrix theory (15-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) 5 Global analysis, analysis on manifolds (58-XX) 4 Combinatorics (05-XX) 4 Real functions (26-XX) 4 Measure and integration (28-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) 2 Mechanics of particles and systems (70-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 Quantum theory (81-XX) 1 Mathematics education (97-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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