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 5 7 15 63
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 2 3 12 40
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios 0 0 0 2 2 3 5 14
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 10 1 3 8 46
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 1 2 9 35
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 6 8 16 53
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 4 4 8 46
A rank based mean field game in the strong formulation 0 0 0 13 8 11 16 26
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 8 1 1 5 39
Arbitrage theory in a market of stochastic dimension 0 0 0 2 2 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 3 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 3 5 8 905
Continuity of Utility Maximization under Weak Convergence 0 0 0 13 4 4 11 39
Contracting a crowd of heterogeneous agents 0 0 3 3 1 1 10 10
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 2 4 9 51
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges 0 0 1 6 7 12 24 34
Data-Driven Nonparametric Robust Control under Dependence Uncertainty 0 0 0 1 2 2 10 17
Deep Neural Operator Learning for Probabilistic Models 0 0 1 1 2 3 5 5
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options 0 0 3 10 7 8 23 36
Distribution-Constrained Optimal Stopping 0 0 0 4 1 3 13 30
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 2 2 5 18
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes 0 0 0 2 2 4 9 17
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 1 10 2 3 12 32
Erratum to "On the market viability under proportional transaction costs" 0 0 0 14 2 2 5 34
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 41 11 16 28 186
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 0 4 6 6 13 18
Fitted value iteration methods for bicausal optimal transport 0 0 0 2 2 3 10 21
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 3 5 13 55
Goal-based portfolio selection with fixed transaction costs 0 1 2 2 1 4 15 15
Goal-based portfolio selection with mental accounting 0 0 1 1 7 9 22 22
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 31 4 4 10 48
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 2 4 13 59
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 22 1 3 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 1 7 16 60
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 0 0 0 3 1 2 5 23
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 22 3 3 9 47
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 0 10 4 5 11 39
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 2 3 10 31
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 1 3 2 10 22 51
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 9 2 4 16 38
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 1 20 4 8 19 95
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 5 7 19 113
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 11 1 2 4 54
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 10 1 2 8 40
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 2 2 9 113
No-arbitrage and hedging with liquid American options 0 0 0 7 4 6 13 31
Nonparametric Adaptive Robust Control Under Model Uncertainty 0 0 0 13 6 9 17 22
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 4 2 3 8 23
On Zero-sum Optimal Stopping Games 0 0 1 20 1 3 8 30
On a Stopping Game in continuous time 0 0 0 38 1 2 6 24
On an Optimal Stopping Problem of an Insider 0 1 1 6 1 3 7 27
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 4 4 9 74
On hedging American options under model uncertainty 0 0 0 5 3 3 16 43
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 10 0 1 10 32
On non-uniqueness in mean field games 0 0 0 15 2 2 5 38
On optimal dividends in the dual model 0 0 0 19 3 5 10 40
On the Continuity of the Root Barrier 0 0 0 1 4 5 9 25
On the Existence of Consistent Price Systems 0 0 0 18 4 5 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 1 5 15 58
On the Robust Dynkin Game 0 0 0 16 3 4 8 28
On the Robust Optimal Stopping Problem 0 0 0 13 2 3 9 59
On the Stability of Utility Maximization Problems 0 0 0 15 3 4 5 42
On the Stickiness Property 0 0 0 8 1 2 6 136
On the quasi-sure superhedging duality with frictions 0 0 0 2 4 5 10 33
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 2 3 7 84
On utility maximization with derivatives under model uncertainty 0 0 0 16 1 2 8 41
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case 0 0 0 10 1 4 11 38
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 1 1 1 11 4 7 15 80
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 1 1 9 4 7 18 44
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 8 1 1 1 41
Optimal Investment and Consumption under a Habit-Formation Constraint 0 0 0 3 2 3 11 31
Optimal Investment to Minimize the Probability of Drawdown 0 1 1 15 4 8 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 4 10 52
Optimal Stopping for Non-linear Expectations 0 0 0 11 4 5 21 53
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 2 0 0 7 22
Optimal Time to Change Premiums 0 0 0 1 2 2 3 24
Optimal Trade Execution in Illiquid Markets 0 1 1 25 6 10 17 82
Optimally Investing to Reach a Bequest Goal 0 0 0 13 3 6 15 58
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 0 15 1 2 8 65
Outperforming the market portfolio with a given probability 0 0 0 18 1 2 6 76
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 18 4 4 7 72
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 2 4 6 395
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 3 4 9 96
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 13 1 2 11 38
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 0 24 0 3 7 32
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 0 1 7 27
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 10 4 5 8 63
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 1 2 8 12
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 0 26 1 1 10 38
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 1 6 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 1 2 12 31
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 1 1 2 9 42
Sequential optimal contracting in continuous time 0 0 0 11 1 3 11 32
Solving dynamic portfolio selection problems via score-based diffusion models 0 0 0 0 1 6 20 20
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 1 1 8 96
Stochastic Perron for Stochastic Target Problems 0 0 0 3 0 0 3 16
Stochastic Perron for stochastic target games 0 0 0 20 1 1 4 25
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 7 3 3 8 29
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 3 3 7 67
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 7 5 7 12 46
Supermartingale Brenier's Theorem with full-marginals constraint 0 0 0 0 1 2 8 11
Systemic robustness: a mean-field particle system approach 0 0 0 1 1 2 5 9
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 0 12 2 2 5 126
The Learning Approach to Games 0 0 0 0 2 3 7 9
The McCormick martingale optimal transport 0 0 0 0 3 5 12 13
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 12 6 6 16 38
Tractable bank capital structure: optimal control under Basel III constraints 0 6 6 6 2 12 12 12
Transport plans with domain constraints 0 0 0 2 3 3 8 31
Two-fund separation under hyperbolically distributed returns and concave utility functions 0 0 2 4 7 12 47 56
Valuation equations for stochastic volatility models 0 0 0 1 3 17 49 59
Valuation equations for stochastic volatility models 0 0 0 27 1 2 5 78
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 21 3 5 12 103
Weak reflection principle for L\'evy processes 0 0 0 18 5 6 10 34
Total Working Papers 1 12 29 1,703 296 487 1,325 6,788

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 1 3 12 20
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 1 3 9 61
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 1 1 4 12 30
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 1 4 10 24
Arbitrage theory in a market of stochastic dimension 0 0 0 0 3 6 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 4 7 50
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 15 3 3 6 58
Distribution‐constrained optimal stopping 0 0 0 1 7 9 13 22
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 0 2 11 26
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 4 6 14 25
Embedding of Walsh Brownian motion 0 0 0 1 2 3 12 20
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes 0 0 0 0 1 2 12 16
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 0 1 1 2 5 14
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 0 1 1 2 8 24
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games 0 0 0 0 1 2 8 11
Graphon particle system: Uniform-in-time concentration bounds 0 0 0 2 2 2 6 13
Hedging life insurance with pure endowments 0 0 0 51 1 2 8 133
Inventory management with partially observed nonstationary demand 0 0 1 2 3 8 13 35
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 3 3 18 39
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 1 1 3 11 25
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 4 5 11 103
Mean field interaction on random graphs with dynamically changing multi-color edges 0 0 0 0 3 4 10 13
Minimizing the Probability of Lifetime Ruin under Random Consumption 1 1 1 1 2 2 5 6
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 0 0 2 2 6 9
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 1 1 1 1 3 6 11
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 0 3 1 1 7 42
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 2 3 6 45
Minimizing the probability of lifetime drawdown under constant consumption 0 0 0 5 1 4 14 38
Minimizing the probability of lifetime ruin under borrowing constraints 0 0 1 19 5 5 13 74
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 3 4 10 59
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 3 4 6 47
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 16 1 3 12 114
No arbitrage conditions for simple trading strategies 0 0 0 26 4 6 13 115
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 2 3 7 17
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 2 2 9 23
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 5 11 28
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 3 4 7 26
On the quasi-sure superhedging duality with frictions 0 0 0 1 1 1 8 25
On the stickiness property 0 0 0 1 0 2 11 52
Optimal dividends in the dual model under transaction costs 0 0 0 3 2 3 7 54
Optimal investment strategy to minimize occupation time 0 0 0 1 3 5 9 18
Optimal reinsurance and investment with unobservable claim size and intensity 0 0 2 14 3 8 20 69
Optimal stopping for non-linear expectations--Part I 0 0 0 10 1 1 8 42
Optimal stopping for non-linear expectations--Part II 0 0 0 3 1 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 1 4 12 24
Optimally investing to reach a bequest goal 0 0 0 5 5 9 13 43
Optimizing venture capital investments in a jump diffusion model 0 0 0 3 3 5 16 39
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 1 3 8 19
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 3 6 10 18
Pricing Options on Defaultable Stocks 0 0 0 27 4 5 11 113
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 4 5 9 119
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 0 4 2 3 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 4 43
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 3 4 12 35
Quantifying dimensional change in stochastic portfolio theory 0 0 0 1 1 4 14 20
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 3 3 4 12 35
Relative Hedging of Systematic Mortality Risk 0 0 0 0 2 2 8 10
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes 0 0 0 0 1 2 4 4
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 0 0 3 2 3 8 42
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 2 3 9 38
Stationarity and uniform in time convergence for the graphon particle system 0 0 0 0 1 1 6 10
Stochastic Perron for Stochastic Target Problems 0 0 0 0 3 3 7 18
Stochastic control/stopping problem with expectation constraints 0 0 0 0 1 3 14 15
Strict local martingale deflators and valuing American call-type options 0 0 0 6 1 1 6 39
Systemic Robustness: A Mean‐Field Particle System Approach 0 0 1 1 2 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 2 7 38
The standard Poisson disorder problem revisited 0 1 1 4 3 5 12 28
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 0 34 1 3 13 150
Walsh spider diffusions as time changed multi-parameter processes 0 0 0 0 1 2 11 11
Total Journal Articles 1 3 9 360 138 239 720 2,783
5 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Total Books 0 0 0 0 0 0 0 0
1 registered items for which data could not be found

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 1 9 10
Supermartingale Brenier’s Theorem with Full-Marginal Constraint 0 0 0 0 1 1 6 7
Total Chapters 0 0 0 0 2 2 15 17

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06