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 0 0 48
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 0 4 0 0 0 28
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios 0 0 0 2 1 1 2 7
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 10 0 0 0 37
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 0 0 0 25
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 0 0 0 35
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 1 1 1 36
A rank based mean field game in the strong formulation 0 0 0 13 0 0 0 10
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 8 0 0 0 32
Arbitrage theory in a market of stochastic dimension 0 0 0 2 1 1 1 5
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 0 14 0 0 0 38
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 0 0 0 21
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 0 0 1 29
Consistency Problems For Jump-Diffusion Models 1 1 1 348 1 1 1 896
Continuity of Utility Maximization under Weak Convergence 0 0 1 13 0 1 3 27
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 0 0 0 40
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges 0 0 5 5 1 1 4 4
Data-Driven Nonparametric Robust Control under Dependence Uncertainty 0 0 0 1 0 0 1 6
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options 0 0 1 7 1 1 3 10
Distribution-Constrained Optimal Stopping 0 0 0 4 0 0 0 16
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 0 0 0 13
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes 0 0 0 2 0 0 1 7
Equilibrium concepts for time-inconsistent stopping problems in continuous time 0 0 0 9 0 0 0 17
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 41 0 1 3 157
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 0 4 0 0 0 4
Fitted Value Iteration Methods for Bicausal Optimal Transport 0 0 0 2 0 0 7 11
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 0 0 0 42
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 31 0 1 2 34
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 0 0 1 45
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 22 0 0 2 61
Liquidation in Limit Order Books with Controlled Intensity 1 1 1 10 1 2 2 106
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 22 0 0 0 43
McKean-Vlasov equations involving hitting times: blow-ups and global solvability 0 0 0 3 0 1 2 16
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 22 0 0 0 36
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 0 0 0 10 0 0 0 27
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 0 0 0 20
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 0 2 0 0 2 28
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 1 9 0 0 1 21
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 0 19 0 0 1 74
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 0 0 0 94
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 11 0 0 0 48
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 10 0 0 0 31
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 0 0 0 103
No-arbitrage and hedging with liquid American options 0 0 0 7 0 0 0 16
Nonparametric Adaptive Robust Control Under Model Uncertainty 0 0 0 13 0 0 0 4
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 4 0 0 0 15
On Zero-sum Optimal Stopping Games 0 0 0 19 0 0 0 20
On a Stopping Game in continuous time 0 0 0 38 0 0 0 17
On an Optimal Stopping Problem of an Insider 0 0 0 5 0 0 0 20
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 1 1 1 63
On hedging American options under model uncertainty 0 0 0 5 0 1 1 26
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 9 0 0 0 21
On non-uniqueness in mean field games 0 0 1 15 0 0 2 33
On optimal dividends in the dual model 0 0 0 19 0 0 1 29
On the Continuity of the Root Barrier 0 0 0 1 0 0 0 14
On the Existence of Consistent Price Systems 0 0 0 18 0 0 1 92
On the Market Viability under Proportional Transaction Costs 0 0 0 14 0 0 0 28
On the Multi-Dimensional Controller and Stopper Games 0 0 0 17 0 0 0 57
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 9 0 0 0 41
On the Robust Dynkin Game 0 0 0 16 0 0 0 20
On the Robust Optimal Stopping Problem 0 0 0 13 0 0 0 48
On the Stability of Utility Maximization Problems 0 0 0 15 0 1 1 36
On the Stickiness Property 0 0 0 8 0 0 1 124
On the quasi-sure superhedging duality with frictions 0 0 0 2 0 1 1 22
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 0 0 0 76
On utility maximization with derivatives under model uncertainty 0 0 0 16 0 0 0 32
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case 0 0 5 10 0 0 5 26
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 1 1 10 0 1 1 64
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 0 0 8 0 1 2 23
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 8 0 0 0 39
Optimal Investment and Consumption under a Habit-Formation Constraint 0 0 0 3 0 0 1 20
Optimal Investment to Minimize the Probability of Drawdown 1 1 1 14 1 1 2 44
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 0 0 0 32
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 1 1 1 40
Optimal Stopping for Non-linear Expectations 0 0 0 11 0 0 0 30
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 1 2 0 0 2 15
Optimal Time to Change Premiums 0 0 0 1 0 0 0 20
Optimal Trade Execution in Illiquid Markets 0 0 0 24 0 0 1 63
Optimally Investing to Reach a Bequest Goal 0 0 0 13 0 0 1 42
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 0 15 0 0 1 57
Outperforming the market portfolio with a given probability 0 0 0 18 1 1 1 69
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 18 0 0 0 64
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 0 0 0 385
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 0 0 0 86
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 13 0 0 0 26
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 0 24 0 0 0 24
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 0 0 0 20
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 10 0 0 0 54
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 1 1 2 4
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 0 25 0 1 1 27
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 1 22 0 0 5 68
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 16 0 0 0 65
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 0 0 0 18
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 1 0 0 0 33
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 0 0 0 88
Stochastic Perron for Stochastic Target Problems 0 0 0 3 0 0 0 13
Stochastic Perron for stochastic target games 0 0 0 20 1 1 2 20
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 7 0 0 0 21
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 0 0 0 58
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 1 1 7 0 2 3 34
Supermartingale Brenier's Theorem with full-marginals constraint 0 0 0 0 0 0 0 3
Systemic robustness: a mean-field particle system approach 0 0 0 1 1 1 2 3
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 0 12 0 0 0 119
The McCormick martingale optimal transport 0 0 0 0 0 0 0 0
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 12 0 0 0 21
Transport plans with domain constraints 0 0 0 2 0 0 0 23
Valuation equations for stochastic volatility models 0 0 0 1 0 0 0 10
Valuation equations for stochastic volatility models 0 0 0 27 0 1 1 73
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 21 0 0 1 89
Weak reflection principle for L\'evy processes 0 0 0 18 0 0 0 23
Total Working Papers 3 5 21 1,653 14 28 85 5,298

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 1 2 0 0 1 8
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 0 0 0 52
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 1 0 0 0 17
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 0 1 2 14
Arbitrage theory in a market of stochastic dimension 0 0 0 0 1 1 1 1
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case 0 0 0 0 0 0 0 6
Consistency Problems for Jump-diffusion Models 0 0 0 2 0 0 0 43
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 15 0 0 0 51
Distribution‐constrained optimal stopping 0 0 0 1 0 0 1 9
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 0 0 0 14
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 0 0 1 11
Embedding of Walsh Brownian motion 0 0 0 1 0 0 0 8
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes 0 0 0 0 0 1 1 1
Equilibrium concepts for time‐inconsistent stopping problems in continuous time 0 0 0 0 0 0 0 6
Extended weak convergence and utility maximisation with proportional transaction costs 0 0 1 1 0 0 2 15
Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games 0 0 0 0 0 0 0 0
Graphon particle system: Uniform-in-time concentration bounds 1 1 2 2 1 1 3 5
Hedging life insurance with pure endowments 0 0 0 51 0 0 0 125
Inventory management with partially observed nonstationary demand 0 0 0 1 0 0 0 20
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 0 0 0 18
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 1 0 0 1 12
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 0 0 1 91
Mean field interaction on random graphs with dynamically changing multi-color edges 0 0 0 0 0 0 1 2
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 0 2
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 0 0 0 0 0 0 4
Minimizing the expected lifetime spent in drawdown under proportional consumption 0 0 0 3 0 1 2 34
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 0 0 0 38
Minimizing the probability of lifetime drawdown under constant consumption 0 0 0 5 0 0 0 24
Minimizing the probability of lifetime ruin under borrowing constraints 0 0 0 18 0 0 0 61
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 0 0 0 49
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 0 0 0 41
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 1 16 0 0 3 99
No arbitrage conditions for simple trading strategies 0 0 0 26 0 0 2 102
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 0 0 0 8
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 0 0 1 14
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 0 0 0 10
On the market viability under proportional transaction costs 0 0 0 0 0 0 0 15
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 0 0 0 18
On the quasi-sure superhedging duality with frictions 0 0 0 1 0 0 1 15
On the stickiness property 0 0 0 1 0 0 0 41
Optimal dividends in the dual model under transaction costs 0 0 0 3 0 0 0 47
Optimal investment strategy to minimize occupation time 0 0 0 1 0 0 1 9
Optimal reinsurance and investment with unobservable claim size and intensity 0 0 0 12 1 1 1 49
Optimal stopping for non-linear expectations--Part I 0 0 0 9 0 0 0 33
Optimal stopping for non-linear expectations--Part II 0 0 0 3 0 0 0 25
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 0 0 1 7
Optimal time to change premiums 0 0 0 0 0 0 0 11
Optimally investing to reach a bequest goal 0 0 0 5 0 0 1 30
Optimizing venture capital investments in a jump diffusion model 0 0 0 3 0 0 0 22
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 0 0 0 11
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 0 0 0 8
Pricing Options on Defaultable Stocks 0 0 0 27 0 0 0 101
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 0 0 0 109
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 1 1 4 0 1 1 32
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 1 0 0 0 7
Purchasing life insurance to reach a bequest goal 0 0 0 6 0 0 1 39
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 0 0 0 22
Quantifying dimensional change in stochastic portfolio theory 0 0 0 0 1 2 2 2
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 3 0 0 0 23
Relative Hedging of Systematic Mortality Risk 0 0 0 0 0 0 0 2
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 1 1 3 0 2 3 34
Sequential tracking of a hidden Markov chain using point process observations 0 0 0 1 0 0 1 17
Stability of exponential utility maximization with respect to market perturbations 0 0 0 2 0 0 1 28
Stationarity and uniform in time convergence for the graphon particle system 0 0 0 0 0 0 2 3
Stochastic Perron for Stochastic Target Problems 0 0 0 0 0 0 0 11
Stochastic control/stopping problem with expectation constraints 0 0 0 0 0 0 0 0
Strict local martingale deflators and valuing American call-type options 0 0 0 6 0 0 0 33
Terminal Ranking Games 0 0 0 0 0 0 0 0
The effects of implementation delay on decision-making under uncertainty 0 0 0 1 0 0 0 28
The standard Poisson disorder problem revisited 0 0 0 3 0 0 0 16
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 0 0 34 0 0 2 135
Total Journal Articles 1 3 7 348 4 11 41 1,999
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 0 0 1 1
Supermartingale Brenier’s Theorem with Full-Marginal Constraint 0 0 0 0 0 0 1 1
Total Chapters 0 0 0 0 0 0 2 2

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Statistics updated 2024-11-05