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Erhan Bayraktar
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- affiliation: University of Michigan, Ann Arbor, USA
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2020 – today
- 2024
- [j70]Erhan Bayraktar
, Qi Feng, Wuchen Li:
Exponential Entropy Dissipation for Weakly Self-Consistent Vlasov-Fokker-Planck Equations. J. Nonlinear Sci. 34(1): 7 (2024) - [j69]Erhan Bayraktar, Ali Devran Kara:
Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control. SIAM J. Control. Optim. 62(5): 2776-2806 (2024) - [j68]Erhan Bayraktar
Deep Signature Algorithm for Multidimensional Path-Dependent Options. SIAM J. Financial Math. 15(1): 194-214 (2024) - [i34]Erhan Bayraktar
Learning with Linear Function Approximations in Mean-Field Control. CoRR abs/2408.00991 (2024) - 2023
- [j67]Erhan Bayraktar, Ibrahim Ekren, Xin Zhang:
A PDE approach for regret bounds under partial monitoring. J. Mach. Learn. Res. 24: 299:1-299:24 (2023) - [j66]Erhan Bayraktar
Stability of Equilibria in Time-Inconsistent Stopping Problems. SIAM J. Control. Optim. 61(2): 674-696 (2023) - [j65]Erhan Bayraktar
Nonparametric Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. 61(5): 2737-2760 (2023) - [j64]Bahman Angoshtari
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case. SIAM J. Financial Math. 14(2): 557-597 (2023) - [j63]Erhan Bayraktar
Short Communication: Existence of Markov Equilibrium Control in Discrete Time. SIAM J. Financial Math. 14(4): 60- (2023) - [j62]Erhan Bayraktar
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. SIAM J. Financial Math. 14(4): 1028-1061 (2023) - [j61]Erhan Bayraktar
Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality. SIAM J. Math. Data Sci. 5(3): 615-638 (2023) - [i33]Erhan Bayraktar
Fitted Value Iteration Methods for Bicausal Optimal Transport. CoRR abs/2306.12658 (2023) - [i32]Erhan Bayraktar
Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control. CoRR abs/2309.11744 (2023) - [i31]Erhan Bayraktar
On Time-Inconsistency in Mean Field Games. CoRR abs/2312.07770 (2023) - 2022
- [j60]Erhan Bayraktar
$K_{r, s}$ Graph Bootstrap Percolation. Electron. J. Comb. 29(1) (2022) - [j59]Erhan Bayraktar
Disorder detection with costly observations. J. Appl. Probab. 59(2): 338-349 (2022) - [j58]Erhan Bayraktar
Finite State Mean Field Games with Wright-Fisher Common Noise as Limits of N-Player Weighted Games. Math. Oper. Res. 47(4): 2840-2890 (2022) - [j57]Erhan Bayraktar
Path-Dependent Hamilton-Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method. SIAM J. Control. Optim. 60(3): 1690-1711 (2022) - [j56]Erhan Bayraktar
Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit. SIAM J. Control. Optim. 60(5): 2712-2736 (2022) - [j55]Bahman Angoshtari
Optimal Investment and Consumption under a Habit-Formation Constraint. SIAM J. Financial Math. 13(1): 321-352 (2022) - [j54]Erhan Bayraktar
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions. SIAM J. Financial Math. 13(4): 123- (2022) - [c4]Ali Devran Kara, Erhan Bayraktar
Near Optimality of Finite Memory Policies for POMPDs with Continuous Spaces. CDC 2022: 2301-2306 - [i30]Erhan Bayraktar
A PDE approach for regret bounds under partial monitoring. CoRR abs/2209.01256 (2022) - [i29]Erhan Bayraktar
Deep Signature Algorithm for Path-Dependent American option pricing. CoRR abs/2211.11691 (2022) - 2021
- [j53]Erhan Bayraktar, Ibrahim Ekren, Xin Zhang:
Prediction against a limited adversary. J. Mach. Learn. Res. 22: 72:1-72:33 (2021) - [j52]Erhan Bayraktar
Terminal Ranking Games. Math. Oper. Res. 46(4): 1349-1365 (2021) - [j51]Erhan Bayraktar
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. 12(4) (2021) - [j50]Erhan Bayraktar
Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction. IEEE Trans. Inf. Theory 67(1): 559-565 (2021) - [i28]Hamed Amini, Erhan Bayraktar, Suman Chakraborty:
A Central Limit Theorem for Diffusion in Sparse Random Graphs. CoRR abs/2103.00357 (2021) - 2020
- [j49]Lifeng Lai
On the Adversarial Robustness of Robust Estimators. IEEE Trans. Inf. Theory 66(8): 5097-5109 (2020) - [i27]Erhan Bayraktar, H. Vincent Poor, Xin Zhang:
Malicious Experts versus the multiplicative weights algorithm in online prediction. CoRR abs/2003.08457 (2020) - [i26]Erhan Bayraktar, Ibrahim Ekren, Xin Zhang:
Prediction against limited adversary. CoRR abs/2011.01217 (2020)
2010 – 2019
- 2019
- [j48]Erhan Bayraktar
No-Arbitrage and Hedging with Liquid American Options. Math. Oper. Res. 44(2): 468-486 (2019) - [j47]Bahman Angoshtari
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates. SIAM J. Financial Math. 10(2): 547-577 (2019) - [j46]Erhan Bayraktar
Time Consistent Stopping for the Mean-Standard Deviation Problem - The Discrete Time Case. SIAM J. Financial Math. 10(3): 667-697 (2019) - [j45]Parsiad Azimzadeh, Erhan Bayraktar
High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors. SIAM J. Matrix Anal. Appl. 40(1): 276-298 (2019) - [i25]Erhan Bayraktar, Ibrahim Ekren, Yili Zhang:
On the asymptotic optimality of the comb strategy for prediction with expert advice. CoRR abs/1902.02368 (2019) - [i24]Erhan Bayraktar, Lifeng Lai:
On the Adversarial Robustness of Multivariate Robust Estimation. CoRR abs/1903.11220 (2019) - [i23]Erhan Bayraktar, Ibrahim Ekren, Xin Zhang:
Finite-Time 4-Expert Prediction Problem. CoRR abs/1911.10936 (2019) - 2018
- [j44]Erhan Bayraktar
Quantile Hedging in a semi-static market with model uncertainty. Math. Methods Oper. Res. 87(2): 197-227 (2018) - [j43]Erhan Bayraktar
Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators. SIAM J. Control. Optim. 56(1): 292-315 (2018) - [j42]Erhan Bayraktar
Martingale Optimal Transport with Stopping. SIAM J. Control. Optim. 56(1): 417-433 (2018) - [j41]Erhan Bayraktar
Analysis of a Finite State Many Player Game Using Its Master Equation. SIAM J. Control. Optim. 56(5): 3538-3568 (2018) - [j40]Parsiad Azimzadeh, Erhan Bayraktar
Convergence of Implicit Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities. SIAM J. Control. Optim. 56(6): 3994-4016 (2018) - [j39]Erhan Bayraktar
A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method. SIAM J. Control. Optim. 56(6): 4017-4044 (2018) - [j38]Erhan Bayraktar
Recombining Tree Approximations for Optimal Stopping for Diffusions. SIAM J. Financial Math. 9(2): 602-633 (2018) - [j37]Georgios Fellouris
Efficient Byzantine Sequential Change Detection. IEEE Trans. Inf. Theory 64(5): 3346-3360 (2018) - 2017
- [j36]Erhan Bayraktar
Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities. SIAM J. Control. Optim. 55(3): 1915-1953 (2017) - [i22]Jun Geng, Erhan Bayraktar, Lifeng Lai:
Multi-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters. CoRR abs/1708.06901 (2017) - 2016
- [j35]Erhan Bayraktar
Stochastic Perron for Stochastic Target Problems. J. Optim. Theory Appl. 170(3): 1026-1054 (2016) - [j34]Erhan Bayraktar
Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty. Math. Oper. Res. 41(3): 1039-1054 (2016) - [j33]Erhan Bayraktar
Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions. SIAM J. Control. Optim. 54(5): 2594-2628 (2016) - [j32]Erhan Bayraktar
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming. SIAM J. Financial Math. 7(1): 183-214 (2016) - [i21]Erhan Bayraktar, Georgios Fellouris, Lifeng Lai:
Efficient Byzantine Sequential Change Detection. CoRR abs/1609.02661 (2016) - 2015
- [j31]Erhan Bayraktar
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion. SIAM J. Control. Optim. 53(1): 58-90 (2015) - [j30]Erhan Bayraktar
Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs. SIAM J. Control. Optim. 53(1): 91-113 (2015) - [j29]Erhan Bayraktar
Byzantine Fault Tolerant Distributed Quickest Change Detection. SIAM J. Control. Optim. 53(2): 575-591 (2015) - [j28]Erhan Bayraktar
On Hedging American Options under Model Uncertainty. SIAM J. Financial Math. 6(1): 425-447 (2015) - 2014
- [j27]Erhan Bayraktar
On the Robust Optimal Stopping Problem. SIAM J. Control. Optim. 52(5): 3135-3175 (2014) - [j26]Erhan Bayraktar
On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options. SIAM J. Financial Math. 5(1): 20-49 (2014) - [j25]Jun Geng, Erhan Bayraktar
Bayesian Quickest Change-Point Detection With Sampling Right Constraints. IEEE Trans. Inf. Theory 60(10): 6474-6490 (2014) - 2013
- [j24]Erhan Bayraktar
On the Multidimensional Controller-and-Stopper Games. SIAM J. Control. Optim. 51(2): 1263-1297 (2013) - [j23]Erhan Bayraktar
A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls. SIAM J. Control. Optim. 51(3): 2036-2080 (2013) - [j22]Erhan Bayraktar
On the Impulse Control of Jump Diffusions. SIAM J. Control. Optim. 51(3): 2612-2637 (2013) - [j21]Erhan Bayraktar
Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations. SIAM J. Control. Optim. 51(6): 4274-4294 (2013) - [i20]Erhan Bayraktar, Song Yao:
Robust Optimal Stopping under Volatility Uncertainty. CoRR abs/1301.0091 (2013) - [i19]Erhan Bayraktar, Lifeng Lai:
Byzantine Fault Tolerant Distributed Quickest Change Detection. CoRR abs/1306.2086 (2013) - [i18]Jun Geng, Erhan Bayraktar, Lifeng Lai:
Bayesian Quickest Change Point Detection with Sampling Right Constraints. CoRR abs/1309.5396 (2013) - 2012
- [j20]Erhan Bayraktar
Strict local martingale deflators and valuing American call-type options. Finance Stochastics 16(2): 275-291 (2012) - [j19]Erhan Bayraktar
Regularity of the Optimal Stopping Problem for Jump Diffusions. SIAM J. Control. Optim. 50(3): 1337-1357 (2012) - [j18]Erhan Bayraktar
Valuation Equations for Stochastic Volatility Models. SIAM J. Financial Math. 3(1): 351-373 (2012) - [c3]Jun Geng, Lifeng Lai, Erhan Bayraktar
Quickest change point detection with sampling right constraints. Allerton Conference 2012: 874-881 - [i17]Erhan Bayraktar, Ross Kravitz:
Quickest Search over Brownian Channels. CoRR abs/1201.1662 (2012) - [i16]Erhan Bayraktar, Mihai Sîrbu:
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations. CoRR abs/1212.2170 (2012) - [i15]Erhan Bayraktar, Ross Kravitz:
Quickest Detection with Discretely Controlled Observations. CoRR abs/1212.4717 (2012) - 2011
- [j17]Erhan Bayraktar
Proving regularity of the minimal probability of ruin via a game of stopping and control. Finance Stochastics 15(4): 785-818 (2011) - [i14]Erhan Bayraktar, Mihai Sîrbu:
Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case. CoRR abs/1103.0538 (2011) - [i13]Erhan Bayraktar, Michael Ludkovski:
Liquidation in Limit Order Books with Controlled Intensity. CoRR abs/1105.0247 (2011) - [i12]Erhan Bayraktar, Arash Fahim:
A Stochastic Approximation for Fully Nonlinear Free Boundary Problems. CoRR abs/1109.5752 (2011) - 2010
- [j16]Erhan Bayraktar
Inventory management with partially observed nonstationary demand. Ann. Oper. Res. 176(1): 7-39 (2010) - [j15]Erhan Bayraktar
Optimal investment strategy to minimize occupation time. Ann. Oper. Res. 176(1): 389-408 (2010) - [j14]Erhan Bayraktar
A unified treatment of dividend payment problems under fixed cost and implementation delays. Math. Methods Oper. Res. 71(2): 325-351 (2010) - [j13]Erhan Bayraktar
On the One-Dimensional Optimal Switching Problem. Math. Oper. Res. 35(1): 140-159 (2010) - [i11]Erhan Bayraktar, Yu-Jui Huang:
On the Multi-Dimensional Controller and Stopper Games. CoRR abs/1009.0932 (2010)
2000 – 2009
- 2009
- [j12]Erhan Bayraktar
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Math. Methods Oper. Res. 70(3): 505-525 (2009) - [j11]Erhan Bayraktar
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions. SIAM J. Control. Optim. 48(2): 551-572 (2009) - [j10]Erhan Bayraktar
Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions. SIAM J. Math. Anal. 41(2): 825-860 (2009) - 2008
- [j9]Erhan Bayraktar
Optimizing venture capital investments in a jump diffusion model. Math. Methods Oper. Res. 67(1): 21-42 (2008) - [j8]Erhan Bayraktar
Optimal time to change premiums. Math. Methods Oper. Res. 68(1): 125-158 (2008) - [j7]Erhan Bayraktar
An Analysis of Monotone Follower Problems for Diffusion Processes. Math. Oper. Res. 33(2): 336-350 (2008) - 2007
- [j6]Erhan Bayraktar
Correspondence between lifetime minimum wealth and utility of consumption. Finance Stochastics 11(2): 213-236 (2007) - [j5]Erhan Bayraktar
Quickest Detection of a Minimum of Two Poisson Disorder Times. SIAM J. Control. Optim. 46(1): 308-331 (2007) - [i10]Erhan Bayraktar, Hao Xing:
An Efficient Method for Pricing American Options for Jump Diffusions. CoRR abs/0706.2331 (2007) - [i9]Erhan Bayraktar:
A Note on Pricing Options on Defaultable Stocks. CoRR abs/0707.0336 (2007) - [i8]Erhan Bayraktar, Hao Xing:
Pricing Asian Options for Jump Diffusions. CoRR abs/0707.2432 (2007) - [i7]Erhan Bayraktar, Bo Yang:
A Unified Framework for Pricing Credit and Equity Derivatives. CoRR abs/0712.3617 (2007) - 2006
- [j4]Erhan Bayraktar
Poisson Disorder Problem with Exponential Penalty for Delay. Math. Oper. Res. 31(2): 217-233 (2006) - [j3]Erhan Bayraktar
A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. 31(4): 789-810 (2006) - [i6]Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas:
Adaptive Poisson disorder problem. CoRR abs/math/0610184 (2006) - 2005
- [j2]Erhan Bayraktar
Prediction and tracking of long-range-dependent sequences. Syst. Control. Lett. 54(11): 1083-1090 (2005) - [j1]Erhan Bayraktar
Stochastic Differential Games in a Non-Markovian Setting. SIAM J. Control. Optim. 43(5): 1737-1756 (2005) - [c2]Erhan Bayraktar
Quickest Detection of a Minimum of Disorder Times. CDC/ECC 2005: 326-331 - [i5]Erhan Bayraktar, H. Vincent Poor:
Stochastic Differential Games in a Non-Markovian Setting. CoRR abs/cs/0501052 (2005) - [i4]Erhan Bayraktar, H. Vincent Poor:
Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic. CoRR abs/cs/0501054 (2005) - [i3]Erhan Bayraktar, Li Chen, H. Vincent Poor:
Consistency Problems for Jump-Diffusion Models. CoRR abs/cs/0501055 (2005) - [i2]Erhan Bayraktar, Li Chen, H. Vincent Poor:
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold. CoRR abs/cs/0509028 (2005) - [i1]Erhan Bayraktar, H. Vincent Poor:
Quickest detection of a minimum of disorder times. CoRR abs/cs/0509029 (2005) - 2003
- [c1]Erhan Bayraktar
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. CIFEr 2003: 309-316
Coauthor Index
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last updated on 2024-10-22 20:14 CEST by the dblp team
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