Access Statistics for Erhan Bayraktar

Author contact details at EconPapers.

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 1 4 14 67
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 0 0 9 40
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios 0 0 0 2 1 1 6 16
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 10 1 4 12 50
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 2 3 13 40
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 0 2 16 55
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 3 4 11 50
A rank based mean field game in the strong formulation 0 0 0 13 2 4 20 32
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 8 2 3 7 42
Arbitrage theory in a market of stochastic dimension 0 0 0 2 1 2 11 20
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 0 15 0 2 8 47
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 2 4 14 37
Automation, Income Incidence, and Capital Accumulation in Incomplete Markets 0 1 11 11 2 4 6 6
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 3 4 5 36
Consistency Problems For Jump-Diffusion Models 0 0 0 348 2 2 12 909
Continuity of Utility Maximization under Weak Convergence 0 0 0 13 2 3 11 42
Contracting a crowd of heterogeneous agents 0 0 0 3 1 2 10 12
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 2 3 9 54
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges 0 0 1 7 2 2 28 42
Data-Driven Nonparametric Robust Control under Dependence Uncertainty 0 0 1 2 2 5 14 24
Deep Neural Operator Learning for Probabilistic Models 1 1 2 2 3 5 11 11
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options 0 0 2 10 1 5 29 45
Distribution-Constrained Optimal Stopping 0 0 0 4 1 3 15 33
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 2 3 9 22
Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model 0 0 0 0 1 2 24 25
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes 0 0 0 2 0 2 11 20
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 0 10 2 2 13 34
Erratum to "On the market viability under proportional transaction costs" 0 0 0 14 1 3 8 38
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 41 0 0 24 187
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 1 1 1 5 2 2 16 21
Fitted value iteration methods for bicausal optimal transport 0 0 0 2 1 1 10 23
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 0 3 15 59
Goal-based portfolio selection with fixed transaction costs 0 0 2 2 1 2 17 17
Goal-based portfolio selection with mental accounting 0 0 0 1 0 6 34 38
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 31 2 4 12 53
Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences 0 0 3 3 1 3 11 11
Inventory Management with Partially Observed Nonstationary Demand 0 1 1 7 1 4 16 65
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 22 2 3 17 81
Liquidation in Limit Order Books with Controlled Intensity 0 0 0 11 3 4 12 126
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 22 1 2 16 62
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 0 0 1 4 4 5 12 30
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 22 5 6 16 56
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 0 10 0 2 11 41
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 1 2 11 34
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 0 3 2 6 25 57
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 9 1 3 14 43
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 0 20 1 2 17 98
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 1 2 21 115
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 11 0 1 5 55
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 10 1 2 10 43
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 2 3 10 116
No-arbitrage and hedging with liquid American options 0 0 0 7 7 10 20 42
Nonparametric Adaptive Robust Control Under Model Uncertainty 0 0 1 14 0 1 15 24
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 4 4 5 13 28
On Zero-sum Optimal Stopping Games 0 0 0 20 0 2 11 34
On a Stopping Game in continuous time 0 0 0 38 1 1 5 25
On an Optimal Stopping Problem of an Insider 0 0 1 6 0 1 7 29
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 3 4 11 78
On hedging American options under model uncertainty 0 0 0 5 2 2 14 45
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 10 3 3 13 35
On non-uniqueness in mean field games 0 0 0 15 1 3 8 41
On optimal dividends in the dual model 0 0 0 19 2 3 14 45
On the Continuity of the Root Barrier 0 0 0 1 4 4 13 30
On the Existence of Consistent Price Systems 0 0 0 18 0 2 12 108
On the Mean-Field limit of diffusive games through the master equation: $L^{\infty}$ estimates and extreme value behavior 0 0 0 3 0 0 3 8
On the Multi-Dimensional Controller and Stopper Games 0 0 0 17 3 4 6 64
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 9 2 2 13 60
On the Robust Dynkin Game 0 0 0 16 0 1 8 29
On the Robust Optimal Stopping Problem 0 0 0 13 1 1 8 60
On the Stability of Utility Maximization Problems 0 0 0 15 0 1 5 43
On the Stickiness Property 0 0 0 8 1 2 7 138
On the quasi-sure superhedging duality with frictions 0 0 0 2 2 4 13 39
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 2 3 8 87
On utility maximization with derivatives under model uncertainty 0 0 0 16 3 4 12 45
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case 0 0 0 10 0 3 14 41
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 0 1 11 1 2 14 82
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 0 1 9 3 4 22 51
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 8 0 0 1 41
Optimal Investment and Consumption under a Habit-Formation Constraint 0 0 0 3 3 3 11 34
Optimal Investment to Minimize the Probability of Drawdown 0 0 1 15 2 3 17 66
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 2 3 8 43
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 0 2 10 55
Optimal Stopping for Non-linear Expectations 0 0 0 11 0 1 27 61
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 2 1 1 9 25
Optimal Time to Change Premiums 0 0 0 1 1 2 6 27
Optimal Trade Execution in Illiquid Markets 0 0 1 25 3 6 22 88
Optimally Investing to Reach a Bequest Goal 0 0 0 13 1 4 19 63
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 0 15 0 1 8 67
Outperforming the market portfolio with a given probability 0 0 0 18 1 2 8 78
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 18 0 4 11 77
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 2 3 12 401
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 0 3 12 100
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 13 0 1 8 39
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 0 24 0 1 7 34
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 4 5 11 32
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 10 1 1 9 65
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 3 3 10 15
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 0 26 3 4 13 43
Queueing Theoretic Approaches to Financial Price Fluctuations 1 1 1 24 1 3 19 90
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 17 1 2 8 75
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 0 1 8 32
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 1 1 3 11 46
Sequential optimal contracting in continuous time 0 0 0 11 0 1 12 34
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 1 2 9 98
Stochastic Perron for Stochastic Target Problems 1 1 1 4 2 3 5 20
Stochastic Perron for stochastic target games 0 0 0 20 2 2 5 27
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 7 1 2 8 31
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 1 2 10 70
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 7 1 3 16 51
Supermartingale Brenier's Theorem with full-marginals constraint 0 0 0 0 2 3 9 14
Systemic robustness: a mean-field particle system approach 0 0 0 1 0 2 7 12
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 0 12 1 1 6 127
The Learning Approach to Games 0 0 0 0 1 2 9 13
The McCormick martingale optimal transport 0 0 0 0 1 1 12 16
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 12 0 1 14 40
Tractable bank capital structure: optimal control under Basel III constraints 0 0 7 7 3 4 19 19
Transport plans with domain constraints 0 0 0 2 1 2 11 34
Two-fund separation under hyperbolically distributed returns and concave utility functions 0 0 1 4 3 7 52 69
Valuation equations for stochastic volatility models 0 0 0 27 4 4 10 83
Valuation equations for stochastic volatility models 0 0 0 1 0 0 49 59
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 21 3 5 15 108
Weak reflection principle for L\'evy processes 0 0 0 18 2 2 13 37
Total Working Papers 4 6 41 1,727 178 334 1,573 7,250

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Macroeconomic SIR Model for COVID-19 0 0 0 2 0 0 11 20
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 2 2 13 66
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 1 0 1 11 32
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 3 3 11 27
Arbitrage theory in a market of stochastic dimension 0 0 0 0 1 2 12 15
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case 0 0 0 0 4 4 14 25
Consistency Problems for Jump-diffusion Models 0 0 0 2 2 3 10 54
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 15 0 0 6 59
Distribution‐constrained optimal stopping 0 0 0 1 0 1 15 24
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 0 0 11 29
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 2 4 17 30
Embedding of Walsh Brownian motion 0 0 0 1 1 1 12 21
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes 0 0 0 0 2 3 13 20
Equilibrium Transport with Time-Inconsistent Costs 0 0 0 0 2 3 3 3
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 0 1 0 1 8 17
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 0 1 1 1 6 26
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games 0 0 0 0 2 3 11 14
Graphon particle system: Uniform-in-time concentration bounds 0 0 0 2 1 1 8 16
Hedging life insurance with pure endowments 0 0 0 51 2 3 13 139
Inventory management with partially observed nonstationary demand 0 0 0 2 0 1 14 37
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 1 2 20 43
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 1 3 4 14 30
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 3 3 13 106
Mean field interaction on random graphs with dynamically changing multi-color edges 0 0 0 0 1 1 9 15
Minimizing the Probability of Lifetime Ruin under Random Consumption 0 0 1 1 0 0 6 7
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 1 1 0 0 7 10
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 0 1 1 1 1 7 13
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 1 4 2 2 8 45
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 1 3 11 50
Minimizing the probability of lifetime drawdown under constant consumption 0 0 0 5 2 2 12 42
Minimizing the probability of lifetime ruin under borrowing constraints 0 2 3 21 1 5 18 80
Minimizing the probability of lifetime ruin under stochastic volatility 1 1 1 13 1 1 10 61
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 1 2 7 49
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 16 1 2 13 116
No arbitrage conditions for simple trading strategies 0 0 0 26 2 5 19 123
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 0 0 5 18
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 1 1 10 26
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 1 2 9 19
On Time‐Inconsistency in Mean‐Field Games 0 0 0 1 1 1 4 6
On the market viability under proportional transaction costs 0 0 0 0 1 1 10 31
On the mean-Field limit of diffusive games through the master equation: L∞ estimates and extreme value behavior 0 1 4 4 2 3 11 11
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 1 1 7 27
On the quasi-sure superhedging duality with frictions 1 1 1 2 1 1 7 27
On the stickiness property 0 0 0 1 2 2 13 55
Optimal dividends in the dual model under transaction costs 0 0 0 3 0 0 7 55
Optimal investment strategy to minimize occupation time 0 0 0 1 0 1 8 19
Optimal reinsurance and investment with unobservable claim size and intensity 0 0 3 16 6 8 30 83
Optimal stopping for non-linear expectations--Part I 0 0 0 10 1 2 9 45
Optimal stopping for non-linear expectations--Part II 0 0 0 3 1 1 11 37
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 1 1 9 17
Optimal time to change premiums 0 0 0 0 1 1 11 26
Optimally investing to reach a bequest goal 0 0 0 5 1 2 16 47
Optimizing venture capital investments in a jump diffusion model 0 0 0 3 1 54 67 94
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 2 2 9 21
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 2 3 13 22
Pricing Options on Defaultable Stocks 0 0 0 27 0 0 10 114
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 2 2 9 121
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 0 4 0 1 9 43
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 1 0 1 5 14
Purchasing life insurance to reach a bequest goal 0 0 0 6 0 1 4 45
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 2 2 14 38
Quantifying dimensional change in stochastic portfolio theory 0 0 0 1 1 1 14 23
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 3 2 3 12 38
Relative Hedging of Systematic Mortality Risk 0 0 0 0 0 0 7 10
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes 0 0 0 0 1 1 5 5
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 0 0 3 2 3 12 47
Sequential tracking of a hidden Markov chain using point process observations 0 0 0 1 0 0 5 22
Stability of exponential utility maximization with respect to market perturbations 0 0 0 2 0 0 10 39
Stationarity and uniform in time convergence for the graphon particle system 0 0 0 0 1 1 6 12
Stochastic Perron for Stochastic Target Problems 0 0 0 0 2 3 8 22
Stochastic control/stopping problem with expectation constraints 0 0 0 0 1 1 11 16
Strict local martingale deflators and valuing American call-type options 0 0 0 6 3 3 9 42
Systemic Robustness: A Mean‐Field Particle System Approach 0 0 1 1 0 6 15 16
Terminal Ranking Games 0 0 0 0 0 1 3 4
The effects of implementation delay on decision-making under uncertainty 0 0 0 1 0 0 7 38
The standard Poisson disorder problem revisited 0 0 1 4 1 2 14 30
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 0 34 0 1 15 153
Walsh spider diffusions as time changed multi-parameter processes 0 0 0 0 2 3 11 14
Total Journal Articles 2 5 18 372 91 193 874 3,056
5 registered items for which data could not be found

Book File Downloads Abstract Views
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Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Data-Driven Non-Parametric Robust Control under Dependence Uncertainty 0 0 0 0 1 2 13 15
Supermartingale Brenier’s Theorem with Full-Marginal Constraint 0 0 0 0 1 1 6 9
Total Chapters 0 0 0 0 2 3 19 24

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Statistics updated 2026-11-12