Access Statistics for Erhan Bayraktar

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 0 2 4 46
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 1 1 2 26
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 9 1 1 1 33
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 1 1 2 24
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 0 0 0 33
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 0 0 6 33
A rank based mean field game in the strong formulation 0 0 0 13 0 0 2 9
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 7 1 1 2 30
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 0 14 1 1 1 38
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 0 0 6 19
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 0 0 3 25
Consistency Problems For Jump-Diffusion Models 0 0 0 347 0 0 1 890
Continuity of Utility Maximization under Weak Convergence 0 0 0 12 0 0 5 18
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 0 0 2 37
Distribution-Constrained Optimal Stopping 0 0 1 4 0 0 3 15
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 0 1 1 11
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 1 8 3 3 7 12
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 1 39 1 1 2 147
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 0 4 0 0 2 3
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 0 0 3 40
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 30 1 1 3 23
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 0 0 2 38
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 21 0 0 3 52
Liquidation in Limit Order Books with Controlled Intensity 0 0 0 9 0 0 3 97
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 21 0 0 2 40
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 0 1 1 1 0 1 5 5
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 21 0 1 11 31
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 2 9 0 0 4 23
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 1 1 1 18
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 0 2 0 1 4 26
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 7 0 0 0 17
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 0 18 0 0 1 71
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 0 0 2 90
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 10 0 0 1 46
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 9 0 0 1 29
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 0 0 0 97
No-arbitrage and hedging with liquid American options 0 0 0 6 0 0 0 14
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 3 1 1 1 14
On Zero-sum Optimal Stopping Games 0 0 0 18 0 0 1 17
On a Stopping Game in continuous time 0 0 0 36 0 0 3 15
On an Optimal Stopping Problem of an Insider 0 0 0 5 0 0 1 18
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 0 0 3 61
On hedging American options under model uncertainty 0 0 0 5 1 1 2 24
On model-independent pricing/hedging using shortfall risk and quantiles 1 1 1 9 1 2 3 19
On non-uniqueness in mean field games 1 1 1 8 1 1 8 15
On optimal dividends in the dual model 0 0 1 19 1 1 5 26
On the Continuity of the Root Barrier 0 0 0 0 1 1 3 3
On the Existence of Consistent Price Systems 0 0 0 17 0 0 1 85
On the Market Viability under Proportional Transaction Costs 0 0 0 13 0 0 0 21
On the Multi-Dimensional Controller and Stopper Games 0 0 2 16 1 4 8 52
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 8 0 0 1 35
On the Robust Dynkin Game 0 0 0 16 0 1 3 17
On the Robust Optimal Stopping Problem 0 0 0 13 0 1 1 45
On the Stability of Utility Maximization Problems 0 0 0 14 0 0 1 32
On the Stickiness Property 0 0 0 7 0 0 7 118
On the quasi-sure superhedging duality with frictions 0 1 1 2 0 1 3 13
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 0 1 3 75
On utility maximization with derivatives under model uncertainty 0 0 0 15 1 1 2 31
Optimal Consumption under a Habit-Formation Constraint 0 1 1 1 0 2 3 3
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 0 0 7 0 0 0 60
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 0 1 7 0 0 4 15
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 7 0 0 1 37
Optimal Investment and Consumption under a Habit-Formation Constraint 0 2 2 2 1 5 5 5
Optimal Investment to Minimize the Probability of Drawdown 0 0 1 11 0 0 2 37
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 1 1 1 27
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 0 0 0 38
Optimal Stopping for Non-linear Expectations 0 0 1 11 0 0 2 29
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 1 0 0 0 12
Optimal Time to Change Premiums 0 0 0 1 0 0 0 18
Optimal Trade Execution in Illiquid Markets 0 0 0 23 0 0 2 58
Optimally Investing to Reach a Bequest Goal 0 0 0 13 0 0 5 37
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 1 15 0 2 4 54
Outperforming the market portfolio with a given probability 0 0 0 17 0 0 0 67
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 17 1 1 1 60
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 0 1 4 380
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 3 3 4 53
Purchasing Life Insurance to Reach a Bequest Goal 0 0 1 13 0 0 3 24
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 1 23 0 4 7 21
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 0 0 3 19
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 7 0 0 3 47
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 1 24 1 1 2 23
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 21 0 1 5 59
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 15 0 0 2 64
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 0 0 0 16
Robust maximization of asymptotic growth under covariance uncertainty 1 1 1 1 1 1 3 33
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 0 2 7 87
Stochastic Perron for Stochastic Target Problems 0 0 0 3 0 0 0 12
Stochastic Perron for stochastic target games 0 0 0 20 0 0 1 18
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 6 0 1 1 16
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 0 0 3 56
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 6 1 1 7 28
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 1 12 4 11 24 106
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 9 1 1 3 14
Transport plans with domain constraints 0 0 0 2 0 0 4 20
Valuation equations for stochastic volatility models 0 0 0 27 0 0 0 72
Valuation equations for stochastic volatility models 0 0 0 1 0 0 1 9
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 19 2 6 19 79
Weak reflection principle for L\'evy processes 0 0 0 18 0 0 1 20
Total Working Papers 3 8 25 1,542 35 77 295 4,775


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 0 0 1 2 5
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 0 0 5 46
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 0 0 1 1 12
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 0 1 3 10
An Analysis of Monotone Follower Problems for Diffusion Processes 0 0 0 0 0 0 1 4
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case 0 0 0 0 1 3 3 3
Consistency Problems for Jump-diffusion Models 0 0 0 2 1 2 3 41
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 14 0 0 2 49
Distribution‐constrained optimal stopping 0 0 0 1 0 0 1 7
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 0 0 1 14
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 0 1 1 5
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 0 0 0 1 1 1
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 0 0 1 1 4 4
Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty 0 0 0 1 1 1 4 28
Hedging life insurance with pure endowments 0 0 0 51 0 0 0 122
Inventory management with partially observed nonstationary demand 0 0 0 1 1 2 4 15
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 0 0 2 17
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 1 1 1 2 6 10
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 0 0 2 88
Minimizing the Probability of Lifetime Ruin under Random Consumption 0 0 0 0 0 0 0 1
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 0 0 0 0 1 2
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 0 0 0 0 0 0 2
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 2 3 0 1 8 26
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 0 0 0 37
Minimizing the probability of lifetime drawdown under constant consumption 0 0 2 2 1 2 4 15
Minimizing the probability of lifetime ruin under borrowing constraints 0 0 0 18 0 0 0 60
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 0 0 1 48
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 0 0 0 40
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 15 0 0 1 94
No arbitrage conditions for simple trading strategies 0 0 1 26 1 2 3 87
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 0 2 2 2
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 1 1 2 11
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 0 0 3 9
On the One-Dimensional Optimal Switching Problem 0 0 0 0 0 3 10 18
On the market viability under proportional transaction costs 0 0 0 0 0 0 3 14
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 0 0 1 17
On the quasi-sure superhedging duality with frictions 0 0 0 1 0 0 7 10
On the stickiness property 0 0 0 1 0 0 2 22
Optimal dividends in the dual model under transaction costs 0 0 0 3 0 0 6 45
Optimal investment strategy to minimize occupation time 0 0 0 1 0 0 2 8
Optimal reinsurance and investment with unobservable claim size and intensity 0 0 0 8 1 1 4 40
Optimal stopping for non-linear expectations--Part I 0 0 0 8 0 0 0 29
Optimal stopping for non-linear expectations--Part II 0 0 0 2 0 0 0 21
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 0 0 0 3
Optimal time to change premiums 0 0 0 0 0 0 2 10
Optimally investing to reach a bequest goal 0 0 0 5 1 1 2 24
Optimizing venture capital investments in a jump diffusion model 0 0 0 2 0 0 3 18
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 0 0 2 7
Poisson Disorder Problem with Exponential Penalty for Delay 0 0 1 1 0 1 4 7
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 0 0 1 7
Pricing Options on Defaultable Stocks 1 1 1 26 1 1 1 98
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 3 3 3 107
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 1 3 0 0 2 27
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 1 1 0 0 3 3
Purchasing life insurance to reach a bequest goal 0 0 0 4 0 0 2 34
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 1 1 4 19
Quantile Hedging in a semi-static market with model uncertainty 1 1 1 1 3 3 4 16
Relative Hedging of Systematic Mortality Risk 0 0 0 0 0 0 0 0
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 1 1 1 2 4 4 6 24
Sequential tracking of a hidden Markov chain using point process observations 0 0 1 1 0 0 1 16
Stability of exponential utility maximization with respect to market perturbations 0 0 0 2 0 0 0 26
Stochastic Perron for Stochastic Target Problems 0 0 0 0 0 0 0 6
Strict local martingale deflators and valuing American call-type options 0 0 0 6 1 1 1 33
The effects of implementation delay on decision-making under uncertainty 0 0 0 1 0 0 0 23
The standard Poisson disorder problem revisited 0 0 0 3 0 0 1 16
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 2 34 1 1 7 123
Total Journal Articles 3 3 15 324 25 44 155 1,786


Statistics updated 2021-04-06