Details about Erhan Bayraktar
Access statistics for papers by Erhan Bayraktar.
Last updated 20201106. Update your information in the RePEc Author Service.
Shortid: pba1177
Jump to Journal Articles
Working Papers
2020
 Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case
Papers, arXiv.org
 Continuity of Utility Maximization under Weak Convergence
Papers, arXiv.org View citations (2)
 Equilibrium concepts for timeinconsistent stopping problems in continuous time
Papers, arXiv.org View citations (2)
 Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
Papers, arXiv.org
See also Journal Article in Finance and Stochastics (2020)
 McKeanVlasov equations involving hitting times: blowups and global solvability
Papers, arXiv.org
 On nonuniqueness in mean field games
Papers, arXiv.org
 On the Continuity of the Root Barrier
Papers, arXiv.org
 Transport plans with domain constraints
Papers, arXiv.org
2019
 On the quasisure superhedging duality with frictions
Papers, arXiv.org
See also Journal Article in Finance and Stochastics (2020)
 Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Papers, arXiv.org View citations (2)
 Time Consistent Stopping For The MeanStandard Deviation Problem  The Discrete Time Case
Papers, arXiv.org View citations (2)
2018
 MiniFlash Crashes, Model Risk, and Optimal Execution
Papers, arXiv.org View citations (2)
 Noarbitrage and hedging with liquid American options
Papers, arXiv.org View citations (3)
See also Journal Article in Mathematics of Operations Research (2019)
 Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
Papers, arXiv.org View citations (1)
2017
 DistributionConstrained Optimal Stopping
Papers, arXiv.org
See also Journal Article in Mathematical Finance (2019)
 HighRoller Impact: A Large Generalized Game Model of Parimutuel Wagering
Papers, arXiv.org View citations (2)
 On Zerosum Optimal Stopping Games
Papers, arXiv.org View citations (2)
 On the Market Viability under Proportional Transaction Costs
Papers, arXiv.org View citations (3)
See also Journal Article in Mathematical Finance (2018)
 Quantile Hedging in a SemiStatic Market with Model Uncertainty
Papers, arXiv.org
See also Journal Article in Mathematical Methods of Operations Research (2018)
 Superhedging American Options with Semistatic Trading Strategies under Model Uncertainty
Papers, arXiv.org View citations (6)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)
2016
 A rank based mean field game in the strong formulation
Papers, arXiv.org View citations (2)
 An $\alpha$stable limit theorem under sublinear expectation
Papers, arXiv.org
 Arbitrage, hedging and utility maximization using semistatic trading strategies with American options
Papers, arXiv.org View citations (5)
 Minimizing the Probability of Lifetime Drawdown under Constant Consumption
Papers, arXiv.org View citations (6)
See also Journal Article in Insurance: Mathematics and Economics (2016)
 On the Robust Dynkin Game
Papers, arXiv.org View citations (2)
 On the Robust Optimal Stopping Problem
Papers, arXiv.org
 Optimal Investment to Minimize the Probability of Drawdown
Papers, arXiv.org View citations (5)
 Optimal Stopping with Random Maturity under Nonlinear Expectations
Papers, arXiv.org
See also Journal Article in Stochastic Processes and their Applications (2017)
 Optimally Investing to Reach a Bequest Goal
Papers, arXiv.org View citations (8)
See also Journal Article in Insurance: Mathematics and Economics (2016)
 Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
Papers, arXiv.org View citations (3)
 Risk Sensitive Control of the Lifetime Ruin Problem
Papers, arXiv.org View citations (1)
 Stochastic Perron for Stochastic Target Problems
Papers, arXiv.org View citations (3)
See also Journal Article in Journal of Optimization Theory and Applications (2016)
 Stochastic Perron for stochastic target games
Papers, arXiv.org View citations (6)
2015
 Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
Papers, arXiv.org View citations (1)
See also Journal Article in Stochastic Processes and their Applications (2015)
 Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
Papers, arXiv.org View citations (6)
See also Journal Article in Mathematics of Operations Research (2016)
 Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
Papers, arXiv.org View citations (4)
See also Journal Article in Finance Research Letters (2015)
 On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Papers, arXiv.org View citations (9)
See also Journal Article in Mathematical Finance (2017)
 On a Stopping Game in continuous time
Papers, arXiv.org View citations (1)
 On an Optimal Stopping Problem of an Insider
Papers, arXiv.org
 On hedging American options under model uncertainty
Papers, arXiv.org View citations (19)
 Purchasing Term Life Insurance to Reach a Bequest Goal: TimeDependent Case
Papers, arXiv.org View citations (5)
See also Journal Article in North American Actuarial Journal (2015)
 Weak reflection principle for L\'evy processes
Papers, arXiv.org View citations (3)
2014
 A note on the Fundamental Theorem of Asset Pricing under model uncertainty
Papers, arXiv.org View citations (6)
See also Journal Article in Risks (2014)
 Comparing the $G$Normal Distribution to its Classical Counterpart
Papers, arXiv.org
 Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Papers, arXiv.org View citations (2)
 Purchasing Life Insurance to Reach a Bequest Goal
Papers, arXiv.org View citations (8)
See also Journal Article in Insurance: Mathematics and Economics (2014)
 Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
Papers, arXiv.org
2013
 A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
Papers, arXiv.org View citations (3)
 A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
Papers, arXiv.org View citations (1)
 Life Insurance Purchasing to Maximize Utility of Household Consumption
Papers, arXiv.org View citations (5)
See also Journal Article in North American Actuarial Journal (2013)
 On controllerstopper problems with jumps and their applications to indifference pricing of American options
Papers, arXiv.org
 On modelindependent pricing/hedging using shortfall risk and quantiles
Papers, arXiv.org
 On optimal dividends in the dual model
Papers, arXiv.org View citations (23)
See also Journal Article in ASTIN Bulletin (2013)
 On the Existence of Consistent Price Systems
Papers, arXiv.org
 On the MultiDimensional Controller and Stopper Games
Papers, arXiv.org View citations (15)
 On utility maximization with derivatives under model uncertainty
Papers, arXiv.org
 Robust maximization of asymptotic growth under covariance uncertainty
Papers, arXiv.org View citations (4)
2012
 Inventory Management with Partially Observed Nonstationary Demand
Papers, arXiv.org
See also Journal Article in Annals of Operations Research (2010)
 Liquidation in Limit Order Books with Controlled Intensity
Papers, arXiv.org View citations (19)
See also Journal Article in Mathematical Finance (2014)
 Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Papers, arXiv.org
See also Journal Article in Finance Research Letters (2008)
 Outperforming the market portfolio with a given probability
Papers, arXiv.org View citations (8)
 Regularity of the Optimal Stopping Problem for Jump Diffusions
Papers, arXiv.org View citations (3)
 Stability of exponential utility maximization with respect to market perturbations
Papers, arXiv.org View citations (1)
See also Journal Article in Stochastic Processes and their Applications (2013)
 Valuation equations for stochastic volatility models
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (9)
Also in Papers, arXiv.org (2011) View citations (6)
2011
 Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
Papers, arXiv.org View citations (2)
See also Journal Article in Insurance: Mathematics and Economics (2011)
 On the Stability of Utility Maximization Problems
Papers, arXiv.org View citations (1)
 Optimal Stopping for Nonlinear Expectations
Papers, arXiv.org View citations (20)
 Quadratic Reflected BSDEs with Unbounded Obstacles
Papers, arXiv.org
See also Journal Article in Stochastic Processes and their Applications (2012)
2010
 Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
Papers, arXiv.org View citations (9)
See also Journal Article in Finance and Stochastics (2011)
2009
 A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
Papers, arXiv.org View citations (2)
See also Journal Article in Mathematical Methods of Operations Research (2010)
 No Arbitrage Conditions For Simple Trading Strategies
Papers, arXiv.org View citations (4)
See also Journal Article in Annals of Finance (2010)
 On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
Papers, arXiv.org
See also Journal Article in Quantitative Finance (2009)
 On the Stickiness Property
Papers, arXiv.org View citations (5)
See also Journal Article in Quantitative Finance (2010)
 On the uniqueness of classical solutions of Cauchy problems
Papers, arXiv.org View citations (5)
 Optimal Stopping for Dynamic Convex Risk Measures
Papers, arXiv.org View citations (14)
 Optimal Trade Execution in Illiquid Markets
Papers, arXiv.org View citations (13)
 Strict Local Martingale Deflators and Pricing American CallType Options
Papers, arXiv.org View citations (5)
2008
 A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
Papers, arXiv.org View citations (2)
 Minimizing the Probability of Ruin when Consumption is Ratcheted
Papers, arXiv.org View citations (2)
See also Journal Article in North American Actuarial Journal (2008)
 Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
Papers, arXiv.org
See also Journal Article in Finance Research Letters (2008)
 Optimal Investment Strategy to Minimize Occupation Time
Papers, arXiv.org View citations (4)
See also Journal Article in Annals of Operations Research (2010)
 Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
Papers, arXiv.org
See also Journal Article in Journal of Economic Dynamics and Control (2009)
2007
 A Limit Theorem for Financial Markets with Inert Investors
Papers, arXiv.org View citations (6)
See also Journal Article in Mathematics of Operations Research (2006)
 Correspondence between Lifetime Minimum Wealth and Utility of Consumption
Papers, arXiv.org View citations (17)
See also Journal Article in Finance and Stochastics (2007)
 Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
Papers, arXiv.org View citations (9)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2004)
 Minimizing the Lifetime Shortfall or Shortfall at Death
Papers, arXiv.org
See also Journal Article in Insurance: Mathematics and Economics (2009)
 Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
Papers, arXiv.org View citations (17)
See also Journal Article in Insurance: Mathematics and Economics (2007)
 Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
Papers, arXiv.org View citations (4)
 Optimal Time to Change Premiums
Papers, arXiv.org
See also Journal Article in Mathematical Methods of Operations Research (2008)
 Optimizing Venture Capital Investments in a Jump Diffusion Model
Papers, arXiv.org View citations (1)
See also Journal Article in Mathematical Methods of Operations Research (2008)
 Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
Papers, arXiv.org View citations (2)
See also Journal Article in Annals of Finance (2008)
 Queueing Theoretic Approaches to Financial Price Fluctuations
Papers, arXiv.org View citations (8)
 The Effects of Implementation Delay on DecisionMaking Under Uncertainty
Papers, arXiv.org View citations (3)
See also Journal Article in Stochastic Processes and their Applications (2007)
2003
 Consistency Problems For JumpDiffusion Models
Finance, University Library of Munich, Germany
See also Journal Article in Applied Mathematical Finance (2005)
 Projecting the Forward Rate Flow on a Finite Dimensional Manifold
Finance, University Library of Munich, Germany View citations (2)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Journal Articles
2020
 Extended weak convergence and utility maximisation with proportional transaction costs
Finance and Stochastics, 2020, 24, (4), 10131034
See also Working Paper (2020)
 On the quasisure superhedging duality with frictions
Finance and Stochastics, 2020, 24, (1), 249275
See also Working Paper (2019)
2019
 Distribution‐constrained optimal stopping
Mathematical Finance, 2019, 29, (1), 368406 View citations (2)
See also Working Paper (2017)
 NoArbitrage and Hedging with Liquid American Options
Mathematics of Operations Research, 2019, 44, (2), 468486
See also Working Paper (2018)
2018
 On the market viability under proportional transaction costs
Mathematical Finance, 2018, 28, (3), 800838 View citations (5)
See also Working Paper (2017)
 Quantile Hedging in a semistatic market with model uncertainty
Mathematical Methods of Operations Research, 2018, 87, (2), 197227 View citations (1)
See also Working Paper (2017)
2017
 ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
Mathematical Finance, 2017, 27, (4), 9881012 View citations (8)
See also Working Paper (2015)
 Optimal stopping with random maturity under nonlinear expectations
Stochastic Processes and their Applications, 2017, 127, (8), 25862629 View citations (1)
See also Working Paper (2016)
 SUPERHEDGING AMERICAN OPTIONS WITH SEMISTATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 110 View citations (6)
See also Working Paper (2017)
2016
 Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
Mathematics of Operations Research, 2016, 41, (3), 10391054 View citations (12)
See also Working Paper (2015)
 Minimizing the probability of lifetime drawdown under constant consumption
Insurance: Mathematics and Economics, 2016, 69, (C), 210223 View citations (3)
See also Working Paper (2016)
 Optimally investing to reach a bequest goal
Insurance: Mathematics and Economics, 2016, 70, (C), 110 View citations (3)
See also Working Paper (2016)
 Stochastic Perron for Stochastic Target Problems
Journal of Optimization Theory and Applications, 2016, 170, (3), 10261054 View citations (2)
See also Working Paper (2016)
2015
 Doubly reflected BSDEs with integrable parameters and related Dynkin games
Stochastic Processes and their Applications, 2015, 125, (12), 44894542
See also Working Paper (2015)
 Minimizing the expected lifetime spent in drawdown under proportional consumption
Finance Research Letters, 2015, 15, (C), 106114 View citations (4)
See also Working Paper (2015)
 Purchasing Term Life Insurance to Reach a Bequest Goal: TimeDependent Case
North American Actuarial Journal, 2015, 19, (3), 224236 View citations (1)
See also Working Paper (2015)
2014
 A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
Risks, 2014, 2, (4), 19 View citations (7)
See also Working Paper (2014)
 LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
Mathematical Finance, 2014, 24, (4), 627650 View citations (42)
See also Working Paper (2012)
 Optimal dividends in the dual model under transaction costs
Insurance: Mathematics and Economics, 2014, 54, (C), 133143 View citations (24)
 Optimal reinsurance and investment with unobservable claim size and intensity
Insurance: Mathematics and Economics, 2014, 55, (C), 156166 View citations (20)
 Purchasing life insurance to reach a bequest goal
Insurance: Mathematics and Economics, 2014, 58, (C), 204216 View citations (5)
See also Working Paper (2014)
2013
 Life Insurance Purchasing to Maximize Utility of Household Consumption
North American Actuarial Journal, 2013, 17, (2), 114135 View citations (6)
See also Working Paper (2013)
 ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
ASTIN Bulletin, 2013, 43, (3), 359372 View citations (29)
See also Working Paper (2013)
 Stability of exponential utility maximization with respect to market perturbations
Stochastic Processes and their Applications, 2013, 123, (5), 16711690 View citations (6)
See also Working Paper (2012)
2012
 Quadratic reflected BSDEs with unbounded obstacles
Stochastic Processes and their Applications, 2012, 122, (4), 11551203 View citations (6)
See also Working Paper (2011)
 Strict local martingale deflators and valuing American calltype options
Finance and Stochastics, 2012, 16, (2), 275291 View citations (5)
2011
 Minimizing the probability of lifetime ruin under stochastic volatility
Insurance: Mathematics and Economics, 2011, 49, (2), 194206 View citations (3)
See also Working Paper (2011)
 Optimal stopping for nonlinear expectationsPart I
Stochastic Processes and their Applications, 2011, 121, (2), 185211 View citations (20)
Also in Stochastic Processes and their Applications, 2011, 121, (2), 212264 (2011) View citations (17)
 Proving regularity of the minimal probability of ruin via a game of stopping and control
Finance and Stochastics, 2011, 15, (4), 785818 View citations (8)
See also Working Paper (2010)
2010
 A unified treatment of dividend payment problems under fixed cost and implementation delays
Mathematical Methods of Operations Research, 2010, 71, (2), 325351 View citations (2)
See also Working Paper (2009)
 Inventory management with partially observed nonstationary demand
Annals of Operations Research, 2010, 176, (1), 739 View citations (8)
See also Working Paper (2012)
 No arbitrage conditions for simple trading strategies
Annals of Finance, 2010, 6, (1), 147156 View citations (3)
See also Working Paper (2009)
 On the OneDimensional Optimal Switching Problem
Mathematics of Operations Research, 2010, 35, (1), 140159 View citations (13)
 On the stickiness property
Quantitative Finance, 2010, 10, (10), 11091112 View citations (5)
See also Working Paper (2009)
 Optimal investment strategy to minimize occupation time
Annals of Operations Research, 2010, 176, (1), 389408 View citations (5)
See also Working Paper (2008)
2009
 Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
North American Actuarial Journal, 2009, 13, (1), 141154
 Minimizing the lifetime shortfall or shortfall at death
Insurance: Mathematics and Economics, 2009, 44, (3), 447458
See also Working Paper (2007)
 MultiScale TimeChanged Birth Processes for Pricing MultiName Credit Derivatives
Applied Mathematical Finance, 2009, 16, (5), 429449 View citations (2)
 On the perpetual American put options for level dependent volatility models with jumps
Quantitative Finance, 2009, 11, (3), 335341
See also Working Paper (2009)
 Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Mathematical Methods of Operations Research, 2009, 70, (3), 505525 View citations (1)
 Relative Hedging of Systematic Mortality Risk
North American Actuarial Journal, 2009, 13, (1), 106140
 Sequential tracking of a hidden Markov chain using point process observations
Stochastic Processes and their Applications, 2009, 119, (6), 17921822 View citations (5)
 Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
Journal of Economic Dynamics and Control, 2009, 33, (3), 676691 View citations (15)
See also Working Paper (2008)
2008
 An Analysis of Monotone Follower Problems for Diffusion Processes
Mathematics of Operations Research, 2008, 33, (2), 336350 View citations (6)
 Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
Finance Research Letters, 2008, 5, (4), 204212 View citations (2)
See also Working Paper (2012)
 Minimizing the Probability of Lifetime Ruin under Random Consumption
North American Actuarial Journal, 2008, 12, (4), 384400 View citations (1)
 Minimizing the Probability of Ruin When Consumption is Ratcheted
North American Actuarial Journal, 2008, 12, (4), 428442 View citations (1)
See also Working Paper (2008)
 Mutual fund theorems when minimizing the probability of lifetime ruin
Finance Research Letters, 2008, 5, (2), 6978 View citations (1)
See also Working Paper (2008)
 Optimal time to change premiums
Mathematical Methods of Operations Research, 2008, 68, (1), 125158
See also Working Paper (2007)
 Optimizing venture capital investments in a jump diffusion model
Mathematical Methods of Operations Research, 2008, 67, (1), 2142 View citations (19)
See also Working Paper (2007)
 Pricing Options on Defaultable Stocks
Applied Mathematical Finance, 2008, 15, (3), 277304 View citations (4)
 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
Annals of Finance, 2008, 4, (4), 399429 View citations (9)
See also Working Paper (2007)
2007
 Correspondence between lifetime minimum wealth and utility of consumption
Finance and Stochastics, 2007, 11, (2), 213236 View citations (15)
See also Working Paper (2007)
 Hedging life insurance with pure endowments
Insurance: Mathematics and Economics, 2007, 40, (3), 435444 View citations (2)
 Minimizing the probability of lifetime ruin under borrowing constraints
Insurance: Mathematics and Economics, 2007, 41, (1), 196221 View citations (19)
See also Working Paper (2007)
 The effects of implementation delay on decisionmaking under uncertainty
Stochastic Processes and their Applications, 2007, 117, (3), 333358 View citations (6)
See also Working Paper (2007)
2006
 A Limit Theorem for Financial Markets with Inert Investors
Mathematics of Operations Research, 2006, 31, (4), 789810 View citations (2)
See also Working Paper (2007)
 PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (05), 777785
See also Working Paper (2003)
 Poisson Disorder Problem with Exponential Penalty for Delay
Mathematics of Operations Research, 2006, 31, (2), 217233 View citations (3)
2005
 ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (03), 283300 View citations (5)
 Consistency Problems for Jumpdiffusion Models
Applied Mathematical Finance, 2005, 12, (2), 101119
See also Working Paper (2003)
 The standard Poisson disorder problem revisited
Stochastic Processes and their Applications, 2005, 115, (9), 14371450 View citations (12)
2004
 ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (05), 615643 View citations (8)
See also Working Paper (2007)

The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
