All Stories

  1. Comparison for semi-continuous viscosity solutions for second order PDEs on the Wasserstein space

    Article • Journal of Differential Equations, February 2026, Elsevier

    Professor Erhan Bayraktar

  2. Non-parametric estimates for graphon mean-field particle systems

    Article • Bernoulli, November 2025, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  3. Walsh spider diffusions as time changed multi-parameter processes

    Article • Stochastic Processes and their Applications, October 2025, Elsevier

    Professor Erhan Bayraktar

  4. Fitted Value Iteration Methods for Bicausal Optimal Transport

    Article • Applied Mathematics & Optimization, July 2025, Springer Science + Business Media

    Professor Erhan Bayraktar

  5. Finite Approximations for Mean-Field Type Multi-agent Control and Their Near Optimality

    Article • Applied Mathematics & Optimization, June 2025, Springer Science + Business Media

    Professor Erhan Bayraktar

  6. Equilibrium Transport with Time-Inconsistent Costs

    Article • Mathematics of Operations Research, June 2025, INFORMS

    Professor Erhan Bayraktar

  7. Convergence Rate of Particle System for Second-Order PDEs on Wasserstein Space

    Article • SIAM Journal on Control and Optimization, May 2025, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  8. Necessary and Sufficient Conditions of Open-Loop and Closed-Loop Solvability for Delayed Stochastic LQ Optimal Control Problems

    Article • SIAM Journal on Control and Optimization, May 2025, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  9. Hölder regularity and roughness: Construction and examples

    Article • Bernoulli, May 2025, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  10. Binomial-Tree Approximation for Time-Inconsistent Stopping

    Article • SIAM Journal on Financial Mathematics, March 2025, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  11. Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space

    Article • Communications in Partial Differential Equations, March 2025, Taylor & Francis

    Professor Erhan Bayraktar

  12. Systemic Robustness: A Mean‐Field Particle System Approach

    Article • Mathematical Finance, February 2025, Wiley

    Professor Erhan Bayraktar

  13. Near Optimal Approximations and Finite Memory Policies for POMPDs with Continuous Spaces

    Article • Journal of Systems Science and Complexity, February 2025, Springer Science + Business Media

    Professor Erhan Bayraktar

  14. Stability and sample complexity of divergence regularized optimal transport

    Article • Bernoulli, February 2025, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  15. Comparison for Semi-Continuous Viscosity Solutions for Second Order Pdes on the Wasserstein Space

    Article • January 2025, Elsevier

    Professor Erhan Bayraktar

  16. Erratum to “Strong equivalence between metrics of Wasserstein type”

    Article • Electronic Communications in Probability, January 2025, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  17. Sequential optimal contracting in continuous time

    Article • Frontiers of Mathematical Finance, January 2025, American Institute of Mathematical Sciences (AIMS)

    Professor Erhan Bayraktar

  18. On Time‐Inconsistency in Mean‐Field Games

    Article • Mathematical Finance, December 2024, Wiley

    Professor Erhan Bayraktar

  19. Relaxed Equilibria for Time-Inconsistent Markov Decision Processes

    Article • Mathematics of Operations Research, October 2024, INFORMS

    Professor Erhan Bayraktar

  20. The k-core in percolated dense graph sequences

    Article • Journal of Applied Probability, October 2024, Cambridge University Press

    Professor Erhan Bayraktar

  21. Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control

    Article • SIAM Journal on Control and Optimization, October 2024, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  22. Stochastic control/stopping problem with expectation constraints

    Article • Stochastic Processes and their Applications, October 2024, Elsevier

    Professor Erhan Bayraktar

  23. Molecular characterisation of fowl adenovirus associated with hydropericardium hepatitis syndrome in broiler and layer breeders in Azerbaijan

    Article • BMC Veterinary Research, June 2024, Springer Science + Business Media

    Professor Erhan Bayraktar

  24. Deep Signature Algorithm for Multidimensional Path-Dependent Options

    Article • SIAM Journal on Financial Mathematics, March 2024, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  25. Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics

    Article • Mathematics and Financial Economics, February 2024, Springer Science + Business Media

    Professor Erhan Bayraktar

  26. McKean–Vlasov equations involving hitting times: Blow-ups and global solvability

    Article • The Annals of Applied Probability, February 2024, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  27. Optimal stopping with expectation constraints

    Article • The Annals of Applied Probability, February 2024, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  28. Supermartingale shadow couplings: The decreasing case

    Article • Bernoulli, February 2024, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  29. Concentration of measure for graphon particle system

    Article • Advances in Applied Probability, January 2024, Cambridge University Press

    Professor Erhan Bayraktar

  30. A Quantitative Comparison of Unemployment Benefit Extension and Level Increase

    Article • January 2024, Elsevier

    Professor Erhan Bayraktar

  31. Brain invasion of bovine coronavirus: molecular analysis of bovine coronavirus infection in calves with severe pneumonia and neurological signs

    Article • Journal of Veterinary Science, January 2024, XMLink

    Professor Erhan Bayraktar

  32. A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings

    Article • January 2024, Elsevier

    Professor Erhan Bayraktar

  33. Short Communication: Existence of Markov Equilibrium Control in Discrete Time

    Article • SIAM Journal on Financial Mathematics, December 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  34. Quantifying dimensional change in stochastic portfolio theory

    Article • Mathematical Finance, November 2023, Wiley

    Professor Erhan Bayraktar

  35. Exponential Entropy Dissipation for Weakly Self-Consistent Vlasov–Fokker–Planck Equations

    Article • Journal of Nonlinear Science, October 2023, Springer Science + Business Media

    Professor Erhan Bayraktar

  36. A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets

    Article • SIAM Journal on Financial Mathematics, October 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  37. A potential-based construction of the increasing supermartingale coupling

    Article • The Annals of Applied Probability, October 2023, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  38. Graphon mean field systems

    Article • The Annals of Applied Probability, October 2023, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  39. Nonparametric Adaptive Robust Control under Model Uncertainty

    Article • SIAM Journal on Control and Optimization, September 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  40. Arbitrage theory in a market of stochastic dimension

    Article • Mathematical Finance, September 2023, Wiley

    Professor Erhan Bayraktar

  41. Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality

    Article • SIAM Journal on Mathematics of Data Science, July 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  42. Mean Field Control and Finite Agent Approximation for Regime-Switching Jump Diffusions

    Article • Applied Mathematics & Optimization, May 2023, Springer Science + Business Media

    Professor Erhan Bayraktar

  43. Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case

    Article • SIAM Journal on Financial Mathematics, May 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  44. A smooth variational principle on Wasserstein space

    Article • Proceedings of the American Mathematical Society, May 2023, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  45. Propagation of Chaos of Forward–Backward Stochastic Differential Equations with Graphon Interactions

    Article • Applied Mathematics & Optimization, May 2023, Springer Science + Business Media

    Professor Erhan Bayraktar

  46. Stability of Equilibria in Time-Inconsistent Stopping Problems

    Article • SIAM Journal on Control and Optimization, April 2023, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  47. Molecular Characterisation of Fowl Adenovirus Associated With Hydropericardium Hepatitis Syndrome in Broiler and Layer Breeders in Azerbaijan

    Article • April 2023, MDPI AG

    Professor Erhan Bayraktar

  48. Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes

    Article • Mathematical Finance, April 2023, Wiley

    Professor Erhan Bayraktar

  49. Graphon particle system: Uniform-in-time concentration bounds

    Article • Stochastic Processes and their Applications, February 2023, Elsevier

    Professor Erhan Bayraktar

  50. A Central Limit Theorem for Diffusion in Sparse Random Graphs

    Article • Journal of Statistical Physics, January 2023, Springer Science + Business Media

    Professor Erhan Bayraktar

  51. Data-driven nonparametric robust control under dependence uncertainty

    Article • Frontiers of Mathematical Finance, January 2023, American Institute of Mathematical Sciences (AIMS)

    Professor Erhan Bayraktar

  52. Supermartingale Brenier's Theorem with full-marginals constraint

    Article • Frontiers of Mathematical Finance, January 2023, American Institute of Mathematical Sciences (AIMS)

    Professor Erhan Bayraktar

  53. Near Optimality of Finite Memory Policies for POMPDs with Continuous Spaces

    Article • December 2022, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  54. Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions

    Article • SIAM Journal on Financial Mathematics, November 2022, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  55. Solvability of Infinite Horizon McKean–Vlasov FBSDEs in Mean Field Control Problems and Games

    Article • Applied Mathematics & Optimization, November 2022, Springer Science + Business Media

    Professor Erhan Bayraktar

  56. Finite State Mean Field Games with Wright–Fisher Common Noise as Limits ofN-Player Weighted Games

    Article • Mathematics of Operations Research, November 2022, INFORMS

    Professor Erhan Bayraktar

  57. Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

    Article • SIAM Journal on Control and Optimization, September 2022, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  58. Stationarity and uniform in time convergence for the graphon particle system

    Article • Stochastic Processes and their Applications, August 2022, Elsevier

    Professor Erhan Bayraktar

  59. Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method

    Article • SIAM Journal on Control and Optimization, June 2022, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  60. Disorder detection with costly observations

    Article • Journal of Applied Probability, April 2022, Cambridge University Press

    Professor Erhan Bayraktar

  61. On the continuity of the root barrier

    Article • Proceedings of the American Mathematical Society, April 2022, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  62. $K_{r,s}$ Graph Bootstrap Percolation

    Article • The Electronic Journal of Combinatorics, March 2022, The Electronic Journal of Combinatorics

    Professor Erhan Bayraktar

  63. Optimal Investment and Consumption under a Habit-Formation Constraint

    Article • SIAM Journal on Financial Mathematics, March 2022, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  64. Mean field interaction on random graphs with dynamically changing multi-color edges

    Article • Stochastic Processes and their Applications, November 2021, Elsevier

    Professor Erhan Bayraktar

  65. Terminal Ranking Games

    Article • Mathematics of Operations Research, November 2021, INFORMS

    Professor Erhan Bayraktar

  66. A Macroeconomic SIR Model for COVID-19

    Article • Mathematics, August 2021, MDPI AG

    Professor Erhan Bayraktar

  67. Embedding of Walsh Brownian motion

    Article • Stochastic Processes and their Applications, April 2021, Elsevier

    Professor Erhan Bayraktar

  68. Finite state mean field games with Wright–Fisher common noise

    Article • Journal de Mathématiques Pures et Appliquées, March 2021, Elsevier

    Professor Erhan Bayraktar

  69. Corrigendum to “On non-uniqueness in mean field games”

    Article • Proceedings of the American Mathematical Society, January 2021, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  70. Optimal Consumption Under a Habit-Formation Constraint

    Article • SSRN Electronic Journal, January 2021, Elsevier

    Professor Erhan Bayraktar

  71. Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

    Article • SIAM Journal on Financial Mathematics, January 2021, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  72. Strong equivalence between metrics of Wasserstein type

    Article • Electronic Communications in Probability, January 2021, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  73. Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction

    Article • IEEE Transactions on Information Theory, January 2021, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  74. On the asymptotic optimality of the comb strategy for prediction with expert advice

    Article • The Annals of Applied Probability, December 2020, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  75. Equilibrium concepts for time‐inconsistent stopping problems in continuous time

    Article • Mathematical Finance, November 2020, Wiley

    Professor Erhan Bayraktar

  76. Extended weak convergence and utility maximisation with proportional transaction costs

    Article • Finance and Stochastics, September 2020, Springer Science + Business Media

    Professor Erhan Bayraktar

  77. On the Adversarial Robustness of Robust Estimators

    Article • IEEE Transactions on Information Theory, August 2020, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  78. Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case

    Article • Mathematical Finance, July 2020, Wiley

    Professor Erhan Bayraktar

  79. Continuity of utility maximization under weak convergence

    Article • Mathematics and Financial Economics, July 2020, Springer Science + Business Media

    Professor Erhan Bayraktar

  80. A Macroeconomic SIR Model for COVID-19

    Article • June 2020, Cold Spring Harbor Laboratory Press

    Professor Erhan Bayraktar

  81. On non-uniqueness in mean field games

    Article • Proceedings of the American Mathematical Society, May 2020, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  82. Characterisation of fowl adenovirus (FAdV-8b) strain concerning the geographic analysis and pathological lesions associated with inclusion body hepatitis in broiler flocks in Turkey

    Article • Journal of Veterinary Research, April 2020, De Gruyter

    Professor Erhan Bayraktar

  83. Molecular Detection and Clinical Aspects of Feline Herpesvirus-1, Feline Immunodeficiency Virus and Feline Leukemia Virus in Cats in Istanbul, Turkey

    Article • Pakistan Veterinary Journal, April 2020, Pakistan Veterinary Journal

    Professor Erhan Bayraktar

  84. Transport Plans with Domain Constraints

    Article • Applied Mathematics & Optimization, March 2020, Springer Science + Business Media

    Professor Erhan Bayraktar

  85. Finite-time 4-expert prediction problem

    Article • Communications in Partial Differential Equations, January 2020, Taylor & Francis

    Professor Erhan Bayraktar

  86. A Macroeconomic SIR Model for COVID-19

    Article • SSRN Electronic Journal, January 2020, Elsevier

    Professor Erhan Bayraktar

  87. First report on the molecular detection, phylogeny, virological and pathological investigations of Avibacterium paragallinarum in chickens in Turkey

    Article • Medycyna Weterynaryjna, January 2020, Medycyna Weterynaryjna - Redakcja

    Professor Erhan Bayraktar

  88. Large tournament games

    Article • The Annals of Applied Probability, December 2019, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  89. On the quasi-sure superhedging duality with frictions

    Article • Finance and Stochastics, November 2019, Springer Science + Business Media

    Professor Erhan Bayraktar

  90. Controlled reflected SDEs and Neumann problem for backward SPDEs

    Article • The Annals of Applied Probability, October 2019, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  91. Rate control under heavy traffic with strategic servers

    Article • The Annals of Applied Probability, February 2019, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  92. High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors

    Article • SIAM Journal on Matrix Analysis and Applications, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  93. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

    Article • SIAM Journal on Financial Mathematics, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  94. Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case

    Article • SIAM Journal on Financial Mathematics, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  95. Optimal investment with random endowments and transaction costs: duality theory and shadow prices

    Article • Mathematics and Financial Economics, September 2018, Springer Science + Business Media

    Professor Erhan Bayraktar

  96. MINI-FLASH CRASHES, MODEL RISK, AND OPTIMAL EXECUTION

    Article • Market Microstructure and Liquidity, August 2018, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  97. No-Arbitrage and Hedging with Liquid American Options

    Article • Mathematics of Operations Research, August 2018, INFORMS

    Professor Erhan Bayraktar

  98. Production of Recombinant N Protein of Infectious Bronchitis Virus Using the Baculovirus Expression System and Its Assessment as a Diagnostic Antigen

    Article • Applied Biochemistry and Biotechnology, July 2018, Springer Science + Business Media

    Professor Erhan Bayraktar

  99. Path-dependent Hamilton–Jacobi equations in infinite dimensions

    Article • Journal of Functional Analysis, July 2018, Elsevier

    Professor Erhan Bayraktar

  100. Efficient Byzantine Sequential Change Detection

    Article • IEEE Transactions on Information Theory, May 2018, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  101. Distribution‐constrained optimal stopping

    Article • Mathematical Finance, February 2018, Wiley

    Professor Erhan Bayraktar

  102. Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  103. Martingale Optimal Transport with Stopping

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  104. Recombining Tree Approximations for Optimal Stopping for Diffusions

    Article • SIAM Journal on Financial Mathematics, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  105. Analysis of a Finite State Many Player Game Using Its Master Equation

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  106. A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  107. Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  108. Large Tournament Games

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Erhan Bayraktar

  109. Asymptotics for Small Nonlinear Price Impact: A PDE Homogenization Approach to the Multidimensional Case

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Erhan Bayraktar

  110. Continuity of Utility Maximization under Weak Convergence

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Erhan Bayraktar

  111. Time Consistent Stopping for the Mean-Standard Deviation Problem --- The Discrete Time Case

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Erhan Bayraktar

  112. Existence of Transport Plans with Domain Constraints

    Article • SSRN Electronic Journal, January 2018, Elsevier

    Professor Erhan Bayraktar

  113. On the Controller-Stopper Problems with Controlled Jumps

    Article • Applied Mathematics & Optimization, December 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  114. Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

    Article • Transactions of the American Mathematical Society, November 2017, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  115. Quantile Hedging in a semi-static market with model uncertainty

    Article • Mathematical Methods of Operations Research, October 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  116. On the market viability under proportional transaction costs

    Article • Mathematical Finance, August 2017, Wiley

    Professor Erhan Bayraktar

  117. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY

    Article • International Journal of Theoretical and Applied Finance, July 2017, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  118. On the robust Dynkin game

    Article • The Annals of Applied Probability, June 2017, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  119. On Zero-Sum Optimal Stopping Games

    Article • Applied Mathematics & Optimization, April 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  120. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering

    Article • Market Microstructure and Liquidity, March 2017, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  121. Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

    Article • SIAM Journal on Control and Optimization, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  122. On an Optimal Stopping Problem of an Insider

    Article • Theory of Probability and Its Applications, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  123. Analysis of a Finite State Many Player Game Using Its Master Equation

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Professor Erhan Bayraktar

  124. Mini-Flash Crashes, Model Risk, and Optimal Execution

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Professor Erhan Bayraktar

  125. Recombining Tree Approximations for Optimal Stopping for Diffusions

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Professor Erhan Bayraktar

  126. Optimal stopping with random maturity under nonlinear expectations

    Article • Stochastic Processes and their Applications, December 2016, Elsevier

    Professor Erhan Bayraktar

  127. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options

    Article • The Annals of Applied Probability, December 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  128. An $\alpha$-stable limit theorem under sublinear expectation

    Article • Bernoulli, November 2016, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  129. Optimally investing to reach a bequest goal

    Article • Insurance Mathematics and Economics, September 2016, Elsevier

    Professor Erhan Bayraktar

  130. Risk Sensitive Control of the Lifetime Ruin Problem

    Article • Applied Mathematics & Optimization, August 2016, Springer Science + Business Media

    Professor Erhan Bayraktar

  131. Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

    Article • Mathematics of Operations Research, August 2016, INFORMS

    Professor Erhan Bayraktar

  132. Stochastic Perron for Stochastic Target Problems

    Article • Journal of Optimization Theory and Applications, May 2016, Springer Science + Business Media

    Professor Erhan Bayraktar

  133. Minimizing the probability of lifetime drawdown under constant consumption

    Article • Insurance Mathematics and Economics, May 2016, Elsevier

    Professor Erhan Bayraktar

  134. Stochastic Perron for stochastic target games

    Article • The Annals of Applied Probability, April 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  135. Optimal investment to minimize the probability of drawdown

    Article • Stochastics, March 2016, Taylor & Francis

    Professor Erhan Bayraktar

  136. On a stopping game in continuous time

    Article • Proceedings of the American Mathematical Society, January 2016, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  137. A rank-based mean field game in the strong formulation

    Article • Electronic Communications in Probability, January 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  138. Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

    Article • SIAM Journal on Financial Mathematics, January 2016, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  139. Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

    Article • SIAM Journal on Control and Optimization, January 2016, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  140. Weak reflection principle for Lévy processes

    Article • The Annals of Applied Probability, December 2015, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  141. Doubly reflected BSDEs with integrable parameters and related Dynkin games

    Article • Stochastic Processes and their Applications, December 2015, Elsevier

    Professor Erhan Bayraktar

  142. Minimizing the expected lifetime spent in drawdown under proportional consumption

    Article • Finance Research Letters, November 2015, Elsevier

    Professor Erhan Bayraktar

  143. ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

    Article • Mathematical Finance, September 2015, Wiley

    Professor Erhan Bayraktar

  144. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case

    Article • North American Actuarial Journal, July 2015, Taylor & Francis

    Professor Erhan Bayraktar

  145. Quickest Detection with Discretely Controlled Observations

    Article • Sequential Analysis, January 2015, Taylor & Francis

    Professor Erhan Bayraktar

  146. Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  147. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  148. Byzantine Fault Tolerant Distributed Quickest Change Detection

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  149. On Hedging American Options under Model Uncertainty

    Article • SIAM Journal on Financial Mathematics, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  150. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

    Article • Risks, October 2014, MDPI AG

    Professor Erhan Bayraktar

  151. Bayesian Quickest Change-Point Detection With Sampling Right Constraints

    Article • IEEE Transactions on Information Theory, October 2014, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  152. Purchasing life insurance to reach a bequest goal

    Article • Insurance Mathematics and Economics, September 2014, Elsevier

    Professor Erhan Bayraktar

  153. Optimal reinsurance and investment with unobservable claim size and intensity

    Article • Insurance Mathematics and Economics, March 2014, Elsevier

    Professor Erhan Bayraktar

  154. Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

    Article • Proceedings of the American Mathematical Society, January 2014, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  155. On the Robust Optimal Stopping Problem

    Article • SIAM Journal on Control and Optimization, January 2014, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  156. Optimal dividends in the dual model under transaction costs

    Article • Insurance Mathematics and Economics, January 2014, Elsevier

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  157. On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options

    Article • SIAM Journal on Financial Mathematics, January 2014, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  158. On the Existence Of Consistent Price Systems

    Article • Stochastic Analysis and Applications, December 2013, Taylor & Francis

    Professor Erhan Bayraktar

  159. A stochastic approximation for fully nonlinear free boundary parabolic problems

    Article • Numerical Methods for Partial Differential Equations, December 2013, Wiley

    Professor Erhan Bayraktar

  160. Robust maximization of asymptotic growth under covariance uncertainty

    Article • The Annals of Applied Probability, October 2013, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  161. Quickest search over Brownian channels

    Article • Stochastics, September 2013, Taylor & Francis

    Professor Erhan Bayraktar

  162. ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

    Article • Astin Bulletin, July 2013, Cambridge University Press

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  163. Stability of exponential utility maximization with respect to market perturbations

    Article • Stochastic Processes and their Applications, May 2013, Elsevier

    Professor Erhan Bayraktar

  164. Life Insurance Purchasing to Maximize Utility of Household Consumption

    Article • North American Actuarial Journal, April 2013, Taylor & Francis

    Professor Erhan Bayraktar

  165. A note on applications of stochastic ordering to control problems in insurance and finance

    Article • Stochastics, March 2013, Taylor & Francis

    Professor Erhan Bayraktar

  166. Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  167. On the Impulse Control of Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  168. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  169. On the Multidimensional Controller-and-Stopper Games

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  170. Quickest change point detection with sampling right constraints

    Article • October 2012, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  171. Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

    Article • Proceedings of the American Mathematical Society, October 2012, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  172. Outperforming the market portfolio with a given probability

    Article • The Annals of Applied Probability, August 2012, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  173. LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

    Article • Mathematical Finance, June 2012, Wiley

    Professor Erhan Bayraktar

  174. Valuation Equations for Stochastic Volatility Models

    Article • SIAM Journal on Financial Mathematics, April 2012, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  175. Quadratic reflected BSDEs with unbounded obstacles

    Article • Stochastic Processes and their Applications, April 2012, Elsevier

    Professor Erhan Bayraktar

  176. Regularity of the Optimal Stopping Problem for Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2012, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  177. Minimizing the probability of lifetime ruin under stochastic volatility

    Article • Insurance Mathematics and Economics, September 2011, Elsevier

    Professor Erhan Bayraktar

  178. Proving regularity of the minimal probability of ruin via a game of stopping and control

    Article • Finance and Stochastics, June 2011, Springer Science + Business Media

    Professor Erhan Bayraktar

  179. Strict local martingale deflators and valuing American call-type options

    Article • Finance and Stochastics, March 2011, Springer Science + Business Media

    Professor Erhan Bayraktar

  180. On the perpetual American put options for level dependent volatility models with jumps

    Article • Quantitative Finance, March 2011, Taylor & Francis

    Professor Erhan Bayraktar

  181. Optimal stopping for non-linear expectations—Part I

    Article • Stochastic Processes and their Applications, February 2011, Elsevier

    Professor Erhan Bayraktar

  182. Optimal stopping for non-linear expectations—Part II

    Article • Stochastic Processes and their Applications, February 2011, Elsevier

    Professor Erhan Bayraktar

  183. On the Continuity of Stochastic Exit Time Control Problems

    Article • Stochastic Analysis and Applications, December 2010, Taylor & Francis

    Professor Erhan Bayraktar

  184. On the stickiness property

    Article • Quantitative Finance, December 2010, Taylor & Francis

    Professor Erhan Bayraktar

  185. A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

    Article • Mathematical Finance, October 2010, Wiley

    Professor Erhan Bayraktar

  186. OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

    Article • Mathematical Finance, October 2010, Wiley

    Professor Erhan Bayraktar

  187. PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

    Article • Mathematical Finance, September 2010, Wiley

    Professor Erhan Bayraktar

  188. Progesterone Receptor Gene Polymorphism in Panic Disorder: Associations with Agoraphobia and Respiratory Subtype of Panic Disorder

    Article • Klinik Psikofarmakoloji Bülteni-Bulletin of Clinical Psychopharmacology, June 2010, Taylor & Francis

    Professor Erhan Bayraktar

  189. On the One-Dimensional Optimal Switching Problem

    Article • Mathematics of Operations Research, February 2010, INFORMS

    Professor Erhan Bayraktar

  190. On the uniqueness of classical solutions of Cauchy problems

    Article • Proceedings of the American Mathematical Society, January 2010, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  191. Optimal stopping for dynamic convex risk measures

    Article • Illinois Journal of Mathematics, January 2010, Duke University Press

    Professor Erhan Bayraktar

  192. Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives

    Article • Applied Mathematical Finance, November 2009, Taylor & Francis

    Professor Erhan Bayraktar

  193. A unified treatment of dividend payment problems under fixed cost and implementation delays

    Article • Mathematical Methods of Operations Research, September 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  194. Minimizing the lifetime shortfall or shortfall at death

    Article • Insurance Mathematics and Economics, June 2009, Elsevier

    Professor Erhan Bayraktar

  195. Sequential tracking of a hidden Markov chain using point process observations

    Article • Stochastic Processes and their Applications, June 2009, Elsevier

    Professor Erhan Bayraktar

  196. Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution

    Article • Sequential Analysis, April 2009, Taylor & Francis

    Professor Erhan Bayraktar

  197. No arbitrage conditions for simple trading strategies

    Article • Annals of Finance, March 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  198. Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

    Article • Journal of Economic Dynamics and Control, March 2009, Elsevier

    Professor Erhan Bayraktar

  199. Inventory management with partially observed nonstationary demand

    Article • Annals of Operations Research, January 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  200. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

    Article • Mathematical Methods of Operations Research, January 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  201. Relative Hedging of Systematic Mortality Risk

    Article • North American Actuarial Journal, January 2009, Taylor & Francis

    Professor Erhan Bayraktar

  202. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2009, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  203. Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

    Article • North American Actuarial Journal, January 2009, Taylor & Francis

    Professor Erhan Bayraktar

  204. Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions

    Article • SIAM Journal on Mathematical Analysis, January 2009, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  205. Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin

    Article • Finance Research Letters, December 2008, Elsevier

    Professor Erhan Bayraktar

  206. Optimal investment strategy to minimize occupation time

    Article • Annals of Operations Research, November 2008, Springer Science + Business Media

    Professor Erhan Bayraktar

  207. Minimizing the Probability of Ruin When Consumption is Ratcheted

    Article • North American Actuarial Journal, October 2008, Taylor & Francis

    Professor Erhan Bayraktar

  208. Minimizing the Probability of Lifetime Ruin under Random Consumption

    Article • North American Actuarial Journal, October 2008, Taylor & Francis

    Professor Erhan Bayraktar

  209. Mutual fund theorems when minimizing the probability of lifetime ruin

    Article • Finance Research Letters, June 2008, Elsevier

    Professor Erhan Bayraktar

  210. Pricing Options on Defaultable Stocks*

    Article • Applied Mathematical Finance, June 2008, Taylor & Francis

    Professor Erhan Bayraktar

  211. An Analysis of Monotone Follower Problems for Diffusion Processes

    Article • Mathematics of Operations Research, May 2008, INFORMS

    Professor Erhan Bayraktar

  212. Optimizing venture capital investments in a jump diffusion model

    Article • Mathematical Methods of Operations Research, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  213. Optimal time to change premiums

    Article • Mathematical Methods of Operations Research, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  214. Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

    Article • Annals of Finance, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  215. Minimizing the probability of lifetime ruin under borrowing constraints

    Article • Insurance Mathematics and Economics, July 2007, Elsevier

    Professor Erhan Bayraktar

  216. Hedging life insurance with pure endowments

    Article • Insurance Mathematics and Economics, May 2007, Elsevier

    Professor Erhan Bayraktar

  217. The effects of implementation delay on decision-making under uncertainty

    Article • Stochastic Processes and their Applications, March 2007, Elsevier

    Professor Erhan Bayraktar

  218. Correspondence between lifetime minimum wealth and utility of consumption

    Article • Finance and Stochastics, February 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  219. Chapter 15 Queuing Theoretic Approaches to Financial Price Fluctuations

    Article • January 2007, Elsevier

    Professor Erhan Bayraktar

  220. Quickest Detection of a Minimum of Two Poisson Disorder Times

    Article • SIAM Journal on Control and Optimization, January 2007, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  221. A Limit Theorem for Financial Markets with Inert Investors

    Article • Mathematics of Operations Research, November 2006, INFORMS

    Professor Erhan Bayraktar

  222. Adaptive Poisson disorder problem

    Article • The Annals of Applied Probability, August 2006, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  223. PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD

    Article • International Journal of Theoretical and Applied Finance, August 2006, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  224. Poisson Disorder Problem with Exponential Penalty for Delay

    Article • Mathematics of Operations Research, May 2006, INFORMS

    Professor Erhan Bayraktar

  225. Prediction and tracking of long-range-dependent sequences

    Article • Systems & Control Letters, November 2005, Elsevier

    Professor Erhan Bayraktar

  226. The standard Poisson disorder problem revisited

    Article • Stochastic Processes and their Applications, September 2005, Elsevier

    Professor Erhan Bayraktar

  227. Consistency Problems for Jump‐diffusion Models

    Article • Applied Mathematical Finance, June 2005, Taylor & Francis

    Professor Erhan Bayraktar

  228. ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC

    Article • International Journal of Theoretical and Applied Finance, May 2005, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  229. Stochastic Differential Games in a Non-Markovian Setting

    Article • SIAM Journal on Control and Optimization, January 2005, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  230. ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS

    Article • International Journal of Theoretical and Applied Finance, August 2004, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  231. Risk Sensitive Control of the Lifetime Ruin Problem

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  232. Unanticipated Features of the Multidimensional G-Normal Distribution

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  233. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  234. On an Optimal Stopping Problem of an Insider

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  235. Quickest Detection of a Minimum of Disorder Times

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  236. Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  237. Quantile Hedging in a Semi-Static Market with Model Uncertainty

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar