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 0 6 15 63
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 0 2 11 40
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios 0 0 0 2 0 2 5 14
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 10 0 1 8 46
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 2 4 11 37
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 0 7 16 53
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 0 4 8 46
A rank based mean field game in the strong formulation 0 0 0 13 1 10 17 27
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 8 0 1 5 39
Arbitrage theory in a market of stochastic dimension 0 0 0 2 0 3 11 18
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 0 15 0 0 6 45
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 0 3 11 33
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 0 0 3 32
Consistency Problems For Jump-Diffusion Models 0 0 0 348 1 5 9 906
Continuity of Utility Maximization under Weak Convergence 0 0 0 13 0 4 11 39
Contracting a crowd of heterogeneous agents 0 0 3 3 0 1 10 10
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 0 2 9 51
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges 0 0 1 6 2 12 26 36
Data-Driven Nonparametric Robust Control under Dependence Uncertainty 0 0 0 1 0 2 10 17
Deep Neural Operator Learning for Probabilistic Models 0 0 1 1 1 3 6 6
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options 0 0 3 10 2 10 25 38
Distribution-Constrained Optimal Stopping 0 0 0 4 0 3 13 30
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 0 2 5 18
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes 0 0 0 2 0 3 9 17
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 1 10 0 3 12 32
Erratum to "On the market viability under proportional transaction costs" 0 0 0 14 1 3 6 35
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 41 1 15 29 187
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 0 4 1 7 14 19
Fitted value iteration methods for bicausal optimal transport 0 0 0 2 1 4 11 22
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 0 5 13 55
Goal-based portfolio selection with fixed transaction costs 0 1 2 2 0 4 15 15
Goal-based portfolio selection with mental accounting 0 0 1 1 6 13 28 28
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 31 0 4 10 48
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 2 6 15 61
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 22 0 2 14 77
Liquidation in Limit Order Books with Controlled Intensity 0 0 0 11 0 0 13 120
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 22 0 2 16 60
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 1 1 1 4 2 3 7 25
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 22 2 5 11 49
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 0 10 0 4 11 39
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 0 2 10 31
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 1 3 0 5 22 51
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 9 1 4 17 39
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 1 20 1 7 20 96
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 0 6 19 113
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 11 0 2 4 54
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 10 0 1 8 40
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 0 2 9 113
No-arbitrage and hedging with liquid American options 0 0 0 7 1 7 14 32
Nonparametric Adaptive Robust Control Under Model Uncertainty 0 0 0 13 0 7 17 22
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 4 0 3 8 23
On Zero-sum Optimal Stopping Games 0 0 0 20 1 3 8 31
On a Stopping Game in continuous time 0 0 0 38 0 1 6 24
On an Optimal Stopping Problem of an Insider 0 1 1 6 1 3 8 28
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 0 4 9 74
On hedging American options under model uncertainty 0 0 0 5 0 3 16 43
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 10 0 0 10 32
On non-uniqueness in mean field games 0 0 0 15 0 2 5 38
On optimal dividends in the dual model 0 0 0 19 1 5 11 41
On the Continuity of the Root Barrier 0 0 0 1 0 5 9 25
On the Existence of Consistent Price Systems 0 0 0 18 0 4 14 106
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 0 0 2 60
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 9 0 2 15 58
On the Robust Dynkin Game 0 0 0 16 0 3 8 28
On the Robust Optimal Stopping Problem 0 0 0 13 0 3 9 59
On the Stability of Utility Maximization Problems 0 0 0 15 0 3 5 42
On the Stickiness Property 0 0 0 8 0 2 6 136
On the quasi-sure superhedging duality with frictions 0 0 0 2 1 5 11 34
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 0 2 7 84
On utility maximization with derivatives under model uncertainty 0 0 0 16 0 2 8 41
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case 0 0 0 10 0 2 11 38
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 1 1 11 0 5 15 80
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 0 1 9 1 7 18 45
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 8 0 1 1 41
Optimal Investment and Consumption under a Habit-Formation Constraint 0 0 0 3 0 3 11 31
Optimal Investment to Minimize the Probability of Drawdown 0 1 1 15 0 7 18 63
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 0 0 7 40
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 1 3 11 53
Optimal Stopping for Non-linear Expectations 0 0 0 11 5 9 26 58
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 2 1 1 8 23
Optimal Time to Change Premiums 0 0 0 1 0 2 3 24
Optimal Trade Execution in Illiquid Markets 0 1 1 25 0 7 17 82
Optimally Investing to Reach a Bequest Goal 0 0 0 13 0 3 15 58
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 0 15 0 1 8 65
Outperforming the market portfolio with a given probability 0 0 0 18 0 1 6 76
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 18 1 5 8 73
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 2 4 8 397
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 1 5 10 97
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 13 0 1 11 38
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 0 24 1 3 7 33
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 0 0 7 27
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 10 0 5 8 63
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 0 1 8 12
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 0 26 1 2 11 39
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 0 4 15 84
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 17 0 0 6 72
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 0 1 12 31
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 1 1 2 10 43
Sequential optimal contracting in continuous time 0 0 0 11 0 3 11 32
Solving dynamic portfolio selection problems via score-based diffusion models 0 0 0 0 0 4 20 20
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 0 1 8 96
Stochastic Perron for Stochastic Target Problems 0 0 0 3 0 0 2 16
Stochastic Perron for stochastic target games 0 0 0 20 0 1 4 25
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 7 0 3 8 29
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 0 3 7 67
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 7 2 9 14 48
Supermartingale Brenier's Theorem with full-marginals constraint 0 0 0 0 0 2 8 11
Systemic robustness: a mean-field particle system approach 0 0 0 1 0 2 5 9
The Demand Externality of Automation 10 10 10 10 2 2 2 2
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 0 12 0 2 5 126
The Learning Approach to Games 0 0 0 0 2 5 8 11
The McCormick martingale optimal transport 0 0 0 0 0 3 11 13
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 12 0 6 15 38
Tractable bank capital structure: optimal control under Basel III constraints 1 7 7 7 2 14 14 14
Transport plans with domain constraints 0 0 0 2 1 4 9 32
Two-fund separation under hyperbolically distributed returns and concave utility functions 0 0 2 4 2 12 49 58
Valuation equations for stochastic volatility models 0 0 0 1 0 4 49 59
Valuation equations for stochastic volatility models 0 0 0 27 0 1 5 78
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 21 0 4 12 103
Weak reflection principle for L\'evy processes 0 0 0 18 1 7 11 35
Total Working Papers 12 23 40 1,715 59 445 1,376 6,847

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 1 12 20
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 0 1 8 61
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 1 1 3 13 31
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 0 2 10 24
Arbitrage theory in a market of stochastic dimension 0 0 0 0 0 3 12 13
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case 0 0 0 0 0 0 13 21
Consistency Problems for Jump-diffusion Models 0 0 0 2 0 2 7 50
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 15 0 3 6 58
Distribution‐constrained optimal stopping 0 0 0 1 0 8 13 22
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 2 2 13 28
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 0 4 14 25
Embedding of Walsh Brownian motion 0 0 0 1 0 3 12 20
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes 0 0 0 0 0 1 12 16
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 0 1 1 2 6 15
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 0 1 0 2 8 24
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games 0 0 0 0 0 1 8 11
Graphon particle system: Uniform-in-time concentration bounds 0 0 0 2 1 3 7 14
Hedging life insurance with pure endowments 0 0 0 51 0 1 8 133
Inventory management with partially observed nonstationary demand 0 0 1 2 1 7 14 36
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 1 4 19 40
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 1 0 2 11 25
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 0 4 11 103
Mean field interaction on random graphs with dynamically changing multi-color edges 0 0 0 0 0 3 10 13
Minimizing the Probability of Lifetime Ruin under Random Consumption 0 1 1 1 0 2 5 6
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 0 0 0 2 6 9
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 1 1 1 0 3 6 11
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 0 3 0 1 7 42
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 1 4 7 46
Minimizing the probability of lifetime drawdown under constant consumption 0 0 0 5 1 3 15 39
Minimizing the probability of lifetime ruin under borrowing constraints 0 0 1 19 0 5 13 74
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 0 3 10 59
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 0 4 6 47
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 16 0 1 12 114
No arbitrage conditions for simple trading strategies 0 0 0 26 2 6 15 117
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 1 3 8 18
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 1 3 10 24
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 0 0 7 17
On Time‐Inconsistency in Mean‐Field Games 0 0 1 1 0 0 5 5
On the market viability under proportional transaction costs 0 0 0 0 1 3 12 29
On the mean-Field limit of diffusive games through the master equation: L∞ estimates and extreme value behavior 0 3 3 3 2 8 8 8
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 0 3 7 26
On the quasi-sure superhedging duality with frictions 0 0 0 1 0 1 8 25
On the stickiness property 0 0 0 1 0 1 11 52
Optimal dividends in the dual model under transaction costs 0 0 0 3 0 2 7 54
Optimal investment strategy to minimize occupation time 0 0 0 1 0 4 9 18
Optimal reinsurance and investment with unobservable claim size and intensity 1 1 3 15 2 8 21 71
Optimal stopping for non-linear expectations--Part I 0 0 0 10 0 1 8 42
Optimal stopping for non-linear expectations--Part II 0 0 0 3 0 1 10 36
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 0 0 7 15
Optimal time to change premiums 0 0 0 0 0 4 12 24
Optimally investing to reach a bequest goal 0 0 0 5 1 7 14 44
Optimizing venture capital investments in a jump diffusion model 0 0 0 3 0 3 16 39
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 0 2 8 19
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 1 5 11 19
Pricing Options on Defaultable Stocks 0 0 0 27 0 5 11 113
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 0 5 9 119
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 0 4 0 2 8 41
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 1 0 1 4 13
Purchasing life insurance to reach a bequest goal 0 0 0 6 0 0 3 43
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 1 4 13 36
Quantifying dimensional change in stochastic portfolio theory 0 0 0 1 1 3 15 21
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 3 0 3 12 35
Relative Hedging of Systematic Mortality Risk 0 0 0 0 0 2 8 10
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes 0 0 0 0 0 2 4 4
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 0 0 3 1 3 9 43
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 2 9 38
Stationarity and uniform in time convergence for the graphon particle system 0 0 0 0 0 1 6 10
Stochastic Perron for Stochastic Target Problems 0 0 0 0 0 3 7 18
Stochastic control/stopping problem with expectation constraints 0 0 0 0 0 1 13 15
Strict local martingale deflators and valuing American call-type options 0 0 0 6 0 1 6 39
Systemic Robustness: A Mean‐Field Particle System Approach 0 0 1 1 0 2 10 10
Terminal Ranking Games 0 0 0 0 0 0 2 3
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 0 3 12 28
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 0 34 0 1 13 150
Walsh spider diffusions as time changed multi-parameter processes 0 0 0 0 0 2 11 11
Total Journal Articles 1 6 13 364 23 201 745 2,812
5 registered items for which data could not be found

Book File Downloads Abstract Views
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Total Books 0 0 0 0 0 0 0 0
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Chapter File Downloads Abstract Views
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Data-Driven Non-Parametric Robust Control under Dependence Uncertainty 0 0 0 0 0 1 9 10
Supermartingale Brenier’s Theorem with Full-Marginal Constraint 0 0 0 0 1 2 6 8
Total Chapters 0 0 0 0 1 3 15 18

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Statistics updated 2026-06-04