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 3 8 56
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 2 6 9 37
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios 0 0 0 2 1 1 2 11
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 10 2 5 6 43
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 1 6 7 33
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 4 6 10 45
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 2 3 6 42
A rank based mean field game in the strong formulation 0 0 0 13 1 3 5 15
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 8 1 3 6 38
Arbitrage theory in a market of stochastic dimension 0 0 0 2 5 6 10 15
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 1 15 2 6 7 45
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 4 7 8 30
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 0 1 3 32
Consistency Problems For Jump-Diffusion Models 0 0 0 348 2 3 4 900
Continuity of Utility Maximization under Weak Convergence 0 0 0 13 3 4 7 35
Contracting a crowd of heterogeneous agents 0 0 3 3 3 7 9 9
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 2 2 7 47
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges 0 0 1 6 5 8 13 22
Data-Driven Nonparametric Robust Control under Dependence Uncertainty 0 0 0 1 3 5 9 15
Deep Neural Operator Learning for Probabilistic Models 0 1 1 1 0 2 2 2
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options 0 2 3 10 5 12 17 28
Distribution-Constrained Optimal Stopping 0 0 0 4 3 9 11 27
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 1 3 3 16
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes 0 0 0 2 2 4 6 13
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 1 10 2 8 11 29
Erratum to "On the market viability under proportional transaction costs" 0 0 0 14 1 2 4 32
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 41 5 7 13 170
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 0 4 5 7 7 12
Fitted value iteration methods for bicausal optimal transport 0 0 0 2 2 5 7 18
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 6 6 8 50
Goal-based portfolio selection with fixed transaction costs 0 1 1 1 5 11 11 11
Goal-based portfolio selection with mental accounting 0 0 1 1 7 9 13 13
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 31 0 3 10 44
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 5 6 9 55
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 22 6 10 11 74
Liquidation in Limit Order Books with Controlled Intensity 0 0 1 11 4 6 14 120
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 22 5 7 10 53
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 0 0 0 3 3 3 4 21
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 22 2 4 7 44
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 0 10 2 4 6 34
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 3 5 8 28
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 1 3 7 9 12 41
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 9 5 5 12 34
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 1 20 4 6 12 87
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 1 12 12 106
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 11 2 2 3 52
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 10 3 5 7 38
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 2 5 8 111
No-arbitrage and hedging with liquid American options 0 0 0 7 1 3 8 25
Nonparametric Adaptive Robust Control Under Model Uncertainty 0 0 0 13 3 4 9 13
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 4 3 5 5 20
On Zero-sum Optimal Stopping Games 0 0 1 20 2 4 7 27
On a Stopping Game in continuous time 0 0 0 38 0 2 4 22
On an Optimal Stopping Problem of an Insider 0 0 0 5 0 2 4 24
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 0 3 6 70
On hedging American options under model uncertainty 0 0 0 5 5 9 13 40
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 10 1 9 9 31
On non-uniqueness in mean field games 0 0 0 15 0 3 3 36
On optimal dividends in the dual model 0 0 0 19 2 4 5 35
On the Continuity of the Root Barrier 0 0 0 1 2 3 5 20
On the Existence of Consistent Price Systems 0 0 0 18 2 5 9 101
On the Mean-Field limit of diffusive games through the master equation: $L^{\infty}$ estimates and extreme value behavior 0 0 0 3 3 3 4 8
On the Multi-Dimensional Controller and Stopper Games 0 0 0 17 1 2 2 60
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 9 4 6 12 53
On the Robust Dynkin Game 0 0 0 16 2 3 4 24
On the Robust Optimal Stopping Problem 0 0 0 13 4 4 6 56
On the Stability of Utility Maximization Problems 0 0 0 15 0 0 2 38
On the Stickiness Property 0 0 0 8 1 3 8 134
On the quasi-sure superhedging duality with frictions 0 0 0 2 2 2 5 28
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 1 2 5 81
On utility maximization with derivatives under model uncertainty 0 0 0 16 3 6 7 39
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case 0 0 0 10 3 7 8 34
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 0 0 10 3 5 9 73
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 0 0 8 5 8 12 37
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 8 0 0 1 40
Optimal Investment and Consumption under a Habit-Formation Constraint 0 0 0 3 1 5 8 28
Optimal Investment to Minimize the Probability of Drawdown 0 0 0 14 3 6 10 55
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 3 5 7 40
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 1 3 7 48
Optimal Stopping for Non-linear Expectations 0 0 0 11 12 14 17 48
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 2 2 6 7 22
Optimal Time to Change Premiums 0 0 0 1 1 1 2 22
Optimal Trade Execution in Illiquid Markets 0 0 0 24 4 6 8 72
Optimally Investing to Reach a Bequest Goal 0 0 0 13 5 8 9 52
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 0 15 2 4 6 63
Outperforming the market portfolio with a given probability 0 0 0 18 3 4 4 74
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 18 1 2 4 68
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 1 2 6 391
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 3 4 5 92
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 13 1 5 10 36
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 0 24 0 2 4 29
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 4 5 6 26
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 10 1 2 3 58
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 3 5 6 10
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 0 26 2 7 9 37
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 23 5 7 10 78
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 17 3 5 6 72
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 5 5 11 29
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 1 2 5 7 40
Sequential optimal contracting in continuous time 0 0 0 11 3 7 10 29
Solving dynamic portfolio selection problems via score-based diffusion models 0 0 0 0 8 13 14 14
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 0 6 7 95
Stochastic Perron for Stochastic Target Problems 0 0 0 3 1 1 3 16
Stochastic Perron for stochastic target games 0 0 0 20 2 2 3 24
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 7 1 3 5 26
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 3 4 6 64
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 7 4 4 5 39
Supermartingale Brenier's Theorem with full-marginals constraint 0 0 0 0 1 4 6 9
Systemic robustness: a mean-field particle system approach 0 0 0 1 1 2 4 7
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 0 12 2 3 5 124
The Learning Approach to Games 0 0 0 0 1 2 6 6
The McCormick martingale optimal transport 0 0 0 0 1 4 7 8
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 12 3 6 10 32
Transport plans with domain constraints 0 0 0 2 4 5 5 28
Two-fund separation under hyperbolically distributed returns and concave utility functions 0 1 2 4 20 27 38 44
Valuation equations for stochastic volatility models 0 0 0 1 15 32 32 42
Valuation equations for stochastic volatility models 0 0 0 27 1 3 3 76
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 21 4 5 9 98
Weak reflection principle for L\'evy processes 0 0 0 18 1 4 4 28
Total Working Papers 0 5 19 1,691 339 624 920 6,301

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 6 8 9 17
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 3 5 6 58
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 1 4 5 9 26
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 2 4 6 20
Arbitrage theory in a market of stochastic dimension 0 0 0 0 4 4 6 7
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case 0 0 0 0 7 10 14 21
Consistency Problems for Jump-diffusion Models 0 0 0 2 1 2 3 46
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 15 1 2 4 55
Distribution‐constrained optimal stopping 0 0 0 1 3 4 4 13
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 4 6 10 24
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 5 6 8 19
Embedding of Walsh Brownian motion 0 0 0 1 6 8 9 17
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes 0 0 0 0 4 7 12 14
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 1 1 1 3 5 12
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 0 1 1 2 6 22
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games 0 0 0 0 4 6 8 9
Graphon particle system: Uniform-in-time concentration bounds 0 0 0 2 1 3 4 11
Hedging life insurance with pure endowments 0 0 0 51 2 5 6 131
Inventory management with partially observed nonstationary demand 0 0 1 2 4 4 7 27
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 6 13 16 36
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 1 2 6 9 22
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 4 5 7 98
Mean field interaction on random graphs with dynamically changing multi-color edges 0 0 0 0 2 3 6 9
Minimizing the Probability of Lifetime Ruin under Random Consumption 0 0 0 0 2 3 3 4
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 0 0 4 4 5 7
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 0 0 0 1 2 3 8
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 0 3 3 4 6 41
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 0 3 4 42
Minimizing the probability of lifetime drawdown under constant consumption 0 0 0 5 1 4 10 34
Minimizing the probability of lifetime ruin under borrowing constraints 0 1 1 19 4 7 8 69
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 2 4 6 55
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 1 1 2 43
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 16 4 8 10 111
No arbitrage conditions for simple trading strategies 0 0 0 26 3 5 7 109
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 0 1 5 14
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 4 5 7 21
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 6 7 7 17
On Time‐Inconsistency in Mean‐Field Games 0 0 1 1 2 3 5 5
On the market viability under proportional transaction costs 0 0 0 0 1 2 7 23
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 1 2 4 22
On the quasi-sure superhedging duality with frictions 0 0 0 1 3 4 7 24
On the stickiness property 0 0 0 1 5 8 9 50
Optimal dividends in the dual model under transaction costs 0 0 0 3 2 3 4 51
Optimal investment strategy to minimize occupation time 0 0 0 1 2 2 4 13
Optimal reinsurance and investment with unobservable claim size and intensity 1 1 2 14 7 8 12 61
Optimal stopping for non-linear expectations--Part I 0 0 1 10 3 5 8 41
Optimal stopping for non-linear expectations--Part II 0 0 0 3 2 9 9 35
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 5 7 8 15
Optimal time to change premiums 0 0 0 0 4 5 8 20
Optimally investing to reach a bequest goal 0 0 0 5 2 3 4 34
Optimizing venture capital investments in a jump diffusion model 0 0 0 3 5 7 11 34
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 2 4 5 16
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 1 3 4 12
Pricing Options on Defaultable Stocks 0 0 0 27 3 4 7 108
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 1 2 5 114
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 0 4 4 4 6 38
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 1 3 3 5 12
Purchasing life insurance to reach a bequest goal 0 0 0 6 2 2 4 43
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 4 7 9 31
Quantifying dimensional change in stochastic portfolio theory 0 0 0 1 5 7 13 16
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 3 4 5 8 31
Relative Hedging of Systematic Mortality Risk 0 0 0 0 3 5 6 8
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes 0 0 0 0 2 2 2 2
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 0 0 3 3 4 5 39
Sequential tracking of a hidden Markov chain using point process observations 0 0 0 1 2 5 5 22
Stability of exponential utility maximization with respect to market perturbations 0 0 0 2 2 6 7 35
Stationarity and uniform in time convergence for the graphon particle system 0 0 0 0 1 3 5 9
Stochastic Perron for Stochastic Target Problems 0 0 0 0 1 1 4 15
Stochastic control/stopping problem with expectation constraints 0 0 0 0 1 7 12 12
Strict local martingale deflators and valuing American call-type options 0 0 0 6 4 5 5 38
Systemic Robustness: A Mean‐Field Particle System Approach 0 1 1 1 5 7 8 8
Terminal Ranking Games 0 0 0 0 1 2 3 3
The effects of implementation delay on decision-making under uncertainty 0 0 0 1 3 5 8 36
The standard Poisson disorder problem revisited 0 0 0 3 6 7 7 23
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 0 34 6 9 10 147
Walsh spider diffusions as time changed multi-parameter processes 0 0 0 0 3 6 9 9
Total Journal Articles 1 3 8 357 228 362 519 2,544
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
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 3 7 8 9
Supermartingale Brenier’s Theorem with Full-Marginal Constraint 0 0 0 0 2 3 5 6
Total Chapters 0 0 0 0 5 10 13 15

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Statistics updated 2026-02-12