Erhan Bayraktar

Identifiers

• name variant Erhan Bayraktar 0.60 · backfill

Papers (140)

1. Analytical Approach to Continuous-Time Causal Optimal Transport math.OC · 2026 · author #2
2. Equilibrium for Time-inconsistent Mean Field Games: A Systematic Analysis by Entropy Regularization math.OC · 2026 · author #1
3. When Diffusion Model Can Ignore Dimension: An Entropy-Based Theory cs.LG · 2026 · author #2
4. Conditional Diffusion Under Linear Constraints: Langevin Mixing and Information-Theoretic Guarantees cs.LG · 2026 · author #2
5. The Demand Externality of Automation econ.GN · 2026 · author #1
6. Continuous-time Online Learning via Mean-Field Neural Networks: Regret Analysis in Diffusion Environments cs.LG · 2026 · author #1
7. Mean-field games with rough common noise: the compactification approach math.PR · 2026 · author #1
8. Contracting a crowd of heterogeneous agents econ.TH · 2025 · author #2
9. Graphon particle systems with common noise math.PR · 2025 · author #1
10. Goal-based portfolio selection with mental accounting q-fin.PM · 2025 · author #1
11. A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings math.OC · 2022 · author #2
12. Embedding of Walsh Brownian Motion math.PR · 2019 · author #1
13. On the Adversarial Robustness of Multivariate Robust Estimation stat.ML · 2019 · author #1
14. Large Tournament Games math.OC · 2018 · author #1
15. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates q-fin.MF · 2018 · author #2
16. High order Bellman equations and weakly chained diagonally dominant tensors math.RA · 2018 · author #2
17. Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case q-fin.MF · 2018 · author #1
18. A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method math.OC · 2017 · author #1
19. Multi-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters cs.IT · 2017 · author #2
20. Dynamic Programming Principles for Optimal Stopping with Expectation Constraint math.OC · 2017 · author #1
21. Analysis of a Finite State Many Player Game Using its Master Equation math.AP · 2017 · author #1
22. Path-dependent Hamilton-Jacobi equations in infinite dimensions math.AP · 2017 · author #1
23. Controlled Reflected SDEs and Neumann Problem for Backward SPDEs math.PR · 2017 · author #1
24. Mini-Flash Crashes, Model Risk, and Optimal Execution q-fin.TR · 2017 · author #1
25. Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities math.NA · 2017 · author #2
26. Martingale optimal transport with stopping math.PR · 2017 · author #1
27. Recombining Tree Approximations for Optimal Stopping for Diffusions math.PR · 2016 · author #1
28. On the controller-stopper problems with controlled jumps math.OC · 2016 · author #1
29. Efficient Byzantine Sequential Change Detection math.ST · 2016 · author #2
30. Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics math.PR · 2016 · author #1
31. Rate Control under Heavy Traffic with Strategic Servers math.PR · 2016 · author #1
32. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering math.OC · 2016 · author #1
33. No-arbitrage and hedging with liquid American options q-fin.MF · 2016 · author #1
34. Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty q-fin.MF · 2016 · author #1
35. Stochastic Perron for Stochastic Target Problems math.OC · 2016 · author #1
36. Distribution-Constrained Optimal Stopping math.OC · 2016 · author #1
37. A rank based mean field game in the strong formulation math.PR · 2016 · author #1
38. Solvability of Dirichlet problem with Integro-differential Operator math.AP · 2016 · author #1
39. Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption q-fin.PM · 2015 · author #2
40. Minimizing the Probability of Lifetime Drawdown under Constant Consumption q-fin.PM · 2015 · author #2
41. On the Robust Dynkin Game math.PR · 2015 · author #1
42. Optimal Investment to Minimize the Probability of Drawdown q-fin.MF · 2015 · author #2
43. Optimal Stopping with Random Maturity under Nonlinear Expectations math.PR · 2015 · author #1
44. Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices q-fin.MF · 2015 · author #1
45. Risk Sensitive Control of the Lifetime Ruin Problem math.OC · 2015 · author #1
46. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case q-fin.MF · 2015 · author #1
47. Optimally Investing to Reach a Bequest Goal q-fin.MF · 2015 · author #1
48. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options q-fin.MF · 2015 · author #1
49. Ergodicity of robust switching control and nonlinear system of quasi variational inequalities math.PR · 2015 · author #1
50. Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming q-fin.PM · 2014 · author #1
51. Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games math.PR · 2014 · author #1
52. An $\alpha$-stable limit theorem under sublinear expectation math.PR · 2014 · author #1
53. On a Stopping Game in continuous time math.PR · 2014 · author #1
54. Robust feedback switching control: dynamic programming and viscosity solutions math.PR · 2014 · author #1
55. Stochastic Perron for stochastic target games math.PR · 2014 · author #1
56. Quantile Hedging in a Semi-Static Market with Model Uncertainty q-fin.MF · 2014 · author #1
57. On Zero-sum Optimal Stopping Games math.PR · 2014 · author #1
58. Comparing the $G$-Normal Distribution to its Classical Counterpart math.PR · 2014 · author #1
59. Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs math.OC · 2014 · author #1
60. Purchasing Life Insurance to Reach a Bequest Goal q-fin.PM · 2014 · author #1
61. On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints math.PR · 2014 · author #1
62. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion math.OC · 2014 · author #1
63. Bayesian Quickest Change Point Detection with Sampling Right Constraints cs.IT · 2013 · author #2
64. On hedging American options under model uncertainty math.PR · 2013 · author #1
65. A note on the Fundamental Theorem of Asset Pricing under model uncertainty q-fin.PR · 2013 · author #1
66. Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty math.PR · 2013 · author #1
67. Weak reflection principle for L\'evy processes math.PR · 2013 · author #1
68. On utility maximization with derivatives under model uncertainty math.PR · 2013 · author #1
69. On model-independent pricing/hedging using shortfall risk and quantiles q-fin.PR · 2013 · author #1
70. Byzantine Fault Tolerant Distributed Quickest Change Detection math.PR · 2013 · author #1
71. Optimal dividends in the dual model under transaction costs math.PR · 2013 · author #1
72. On an Optimal Stopping Problem of an Insider math.PR · 2013 · author #1
73. On the Robust Optimal Stopping Problem math.PR · 2013 · author #1
74. On controller-stopper problems with jumps and their applications to indifference pricing of American options math.PR · 2012 · author #1
75. Quickest Detection with Discretely Controlled Observations math.PR · 2012 · author #1
76. Stochastic Perron's method for Hamilton-Jacobi-Bellman equations math.PR · 2012 · author #1
77. A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance math.PR · 2012 · author #2
78. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls math.PR · 2012 · author #1
79. Inventory Management with Partially Observed Nonstationary Demand math.OC · 2012 · author #1
80. Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin q-fin.PM · 2012 · author #1
81. Life Insurance Purchasing to Maximize Utility of Household Consumption q-fin.PM · 2012 · author #1
82. On the Impulse Control of Jump Diffusions math.PR · 2012 · author #1
83. Quickest Search over Brownian Channels math.PR · 2012 · author #1
84. On Zero-Sum Stochastic Differential Games math.OC · 2011 · author #1
85. Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games math.OC · 2011 · author #1
86. A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems math.NA · 2011 · author #1
87. Robust maximization of asymptotic growth under covariance uncertainty q-fin.PM · 2011 · author #1
88. Stability of exponential utility maximization with respect to market perturbations q-fin.PM · 2011 · author #1
89. Liquidation in Limit Order Books with Controlled Intensity q-fin.TR · 2011 · author #1
90. Stochatic Perron's method and verification without smoothness using viscosity comparison: the linear case math.PR · 2011 · author #1
91. On the Stability of Utility Maximization Problems q-fin.PM · 2010 · author #1
92. On the Multi-Dimensional Controller and Stopper Games math.OC · 2010 · author #1
93. Outperforming the market portfolio with a given probability q-fin.CP · 2010 · author #1
94. Quadratic Reflected BSDEs with Unbounded Obstacles math.PR · 2010 · author #1
95. Valuation equations for stochastic volatility models math.PR · 2010 · author #1
96. Minimizing the Probability of Lifetime Ruin under Stochastic Volatility q-fin.PM · 2010 · author #1
97. On the Existence of Consistent Price Systems q-fin.GN · 2009 · author #1
98. Optimal Stopping for Dynamic Convex Risk Measures math.PR · 2009 · author #1
99. On the uniqueness of classical solutions of Cauchy problems math.AP · 2009 · author #1
100. Strict Local Martingale Deflators and Pricing American Call-Type Options q-fin.PR · 2009 · author #1
101. On the Continuity of Stochastic Exit Time Control Problems math.PR · 2009 · author #1
102. Optimal Stopping for Non-linear Expectations math.OC · 2009 · author #1
103. Regularity of the Optimal Stopping Problem for Jump Diffusions math.OC · 2009 · author #1
104. Optimal Trade Execution in Illiquid Markets q-fin.TR · 2009 · author #1
105. Minimizing the Probability of Ruin when Consumption is Ratcheted q-fin.RM · 2008 · author #1
106. Optimal Investment Strategy to Minimize Occupation Time q-fin.PM · 2008 · author #1
107. Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities q-fin.PR · 2008 · author #1
108. No Arbitrage Conditions For Simple Trading Strategies q-fin.PR · 2008 · author #1
109. On the Stickiness Property q-fin.PR · 2008 · author #1
110. A Unified Framework for Pricing Credit and Equity Derivatives cs.CE · 2007 · author #1
111. Analysis of the optimal exercise boundary of American options for jump diffusions math.PR · 2007 · author #1
112. Sequential Tracking of a Hidden Markov Chain Using Point Process Observations math.OC · 2007 · author #1
113. Pricing Asian Options for Jump Diffusions cs.CE · 2007 · author #1
114. Pricing Options on Defaultable Stocks cs.CE · 2007 · author #1
115. On the One-Dimensional Optimal Switching Problem math.OC · 2007 · author #1
116. Pricing American Options for Jump Diffusions by Iterating Optimal Stopping Problems for Diffusions cs.CE · 2007 · author #1
117. Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin q-fin.PM · 2007 · author #1
118. Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control q-fin.PM · 2007 · author #1
119. Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin math.OC · 2007 · author #1
120. Minimizing the Probability of Lifetime Ruin under Borrowing Constraints math.OC · 2007 · author #1
121. Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis math.ST · 2007 · author #1
122. The Effects of Implementation Delay on Decision-Making Under Uncertainty math.OC · 2007 · author #1
123. Queueing Theoretic Approaches to Financial Price Fluctuations math.PR · 2007 · author #1
124. A Limit Theorem for Financial Markets with Inert Investors math.PR · 2007 · author #1
125. Optimal Time to Change Premiums math.OC · 2007 · author #1
126. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays math.OC · 2007 · author #1
127. Minimizing the Lifetime Shortfall or Shortfall at Death math.OC · 2007 · author #1
128. Optimizing Venture Capital Investments in a Jump Diffusion Model math.OC · 2007 · author #1
129. Correspondence between Lifetime Minimum Wealth and Utility of Consumption math.OC · 2007 · author #1
130. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions math.OC · 2007 · author #1
131. On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps math.OC · 2007 · author #1
132. An Analysis of Monotone Follower Problems for Diffusion Processes math.OC · 2007 · author #1
133. Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio math.OC · 2007 · author #1
134. Quickest Detection for a Poisson Process with a Phase-type Change-time Distribution math.OC · 2006 · author #1
135. Adaptive Poisson disorder problem math.PR · 2006 · author #1
136. Quickest detection of a minimum of disorder times cs.CE · 2005 · author #1
137. Projecting the Forward Rate Flow onto a Finite Dimensional Manifold cs.CE · 2005 · author #1
138. Consistency Problems for Jump-Diffusion Models cs.IT · 2005 · author #1
139. Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic cs.IT · 2005 · author #1
140. Stochastic Differential Games in a Non-Markovian Setting cs.IT · 2005 · author #1

Mentions

• 2605.19978 #2 · arxiv_oai · confidence 0.70 Erhan Bayraktar
• 1103.0538 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 2507.09415 #2 · arxiv_oai · confidence 0.70 Erhan Bayraktar
• 2602.22602 #1 · arxiv_oai · confidence 0.70 Erhan Bayraktar
• 1010.4322 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 1009.0932 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 1006.3224 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 1005.3565 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 1004.3299 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 1003.4216 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0911.3789 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0909.4948 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0908.1086 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0908.1082 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0907.0062 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0905.3601 #1 · backfill · confidence 0.70 Erhan Bayraktar
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• 0806.2358 #1 · backfill · confidence 0.70 Erhan Bayraktar
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• 0712.3323 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0712.0413 #1 · backfill · confidence 0.70 Erhan Bayraktar
• 0707.2432 #1 · backfill · confidence 0.70 Erhan Bayraktar
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Frequent Coauthors

• Virginia R. Young 17 shared papers
• Zhou Zhou 13 shared papers
• Song Yao 10 shared papers
• Hao Xing 7 shared papers
• H. Vincent Poor 7 shared papers
• Yuchong Zhang 6 shared papers
• Asaf Cohen 5 shared papers
• Lifeng Lai 5 shared papers
• Masahiko Egami 5 shared papers
• Alexander Munk 4 shared papers
• Bahman Angoshtari 4 shared papers
• David Promislow 4 shared papers
• Ross Kravitz 4 shared papers
• Yu-Jui Huang 4 shared papers
• Hasanjan Sayit 3 shared papers
• Jiaqi Li 3 shared papers
• Mihai Sirbu 3 shared papers
• Mike Ludkovski 3 shared papers
• Qingshuo Song 3 shared papers
• Ronnie Sircar 3 shared papers