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 | 2013 | |
|---|---|---|
| i17 |      | Erhan Bayraktar, Song Yao: Robust Optimal Stopping under Volatility Uncertainty. CoRR abs/1301.0091 (2013) |
| 2012 | ||
| j19 | | Erhan Bayraktar, Constantinos Kardaras, Hao Xing: Strict local martingale deflators and valuing American call-type options. Finance and Stochastics 16(2): 275-291 (2012) |
| j18 | | Erhan Bayraktar, Hao Xing: Regularity of the Optimal Stopping Problem for Jump Diffusions. SIAM J. Control and Optimization 50(3): 1337-1357 (2012) |
| j17 | | Erhan Bayraktar, Constantinos Kardaras, Hao Xing: Valuation Equations for Stochastic Volatility Models. SIAM J. Financial Math. 3(1): 351-373 (2012) |
| i16 | | |
| i15 | | Erhan Bayraktar, Mihai Sirbu: Stochastic Perron's method for Hamilton-Jacobi-Bellman equations. CoRR abs/1212.2170 (2012) |
| i14 | | Erhan Bayraktar, Ross Kravitz: Quickest Detection with Discretely Controlled Observations. CoRR abs/1212.4717 (2012) |
| 2011 | ||
| j16 | | Erhan Bayraktar, Virginia R. Young: Proving regularity of the minimal probability of ruin via a game of stopping and control. Finance and Stochastics 15(4): 785-818 (2011) |
| i13 | | Erhan Bayraktar, Mihai Sirbu: Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case. CoRR abs/1103.0538 (2011) |
| i12 | | Erhan Bayraktar, Michael Ludkovski: Liquidation in Limit Order Books with Controlled Intensity. CoRR abs/1105.0247 (2011) |
| i11 | | Erhan Bayraktar, Arash Fahim: A Stochastic Approximation for Fully Nonlinear Free Boundary Problems. CoRR abs/1109.5752 (2011) |
| 2010 | ||
| j15 | | Erhan Bayraktar, Michael Ludkovski: Inventory management with partially observed nonstationary demand. Annals OR 176(1): 7-39 (2010) |
| j14 | | Erhan Bayraktar, Virginia R. Young: Optimal investment strategy to minimize occupation time. Annals OR 176(1): 389-408 (2010) |
| j13 | | Erhan Bayraktar, Masahiko Egami: A unified treatment of dividend payment problems under fixed cost and implementation delays. Math. Meth. of OR 71(2): 325-351 (2010) |
| j12 | | Erhan Bayraktar, Masahiko Egami: On the One-Dimensional Optimal Switching Problem. Math. Oper. Res. 35(1): 140-159 (2010) |
| 2009 | ||
| j11 | | Erhan Bayraktar, Hao Xing: Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Math. Meth. of OR 70(3): 505-525 (2009) |
| j10 | | Erhan Bayraktar: A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions. SIAM J. Control and Optimization 48(2): 551-572 (2009) |
| j9 | | Erhan Bayraktar, Hao Xing: Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions. SIAM J. Math. Analysis 41(2): 825-860 (2009) |
| 2008 | ||
| j8 | | Erhan Bayraktar, Masahiko Egami: Optimizing venture capital investments in a jump diffusion model. Math. Meth. of OR 67(1): 21-42 (2008) |
| j7 | | Erhan Bayraktar, H. Vincent Poor: Optimal time to change premiums. Math. Meth. of OR 68(1): 125-158 (2008) |
| j6 | | Erhan Bayraktar, Masahiko Egami: An Analysis of Monotone Follower Problems for Diffusion Processes. Math. Oper. Res. 33(2): 336-350 (2008) |
| 2007 | ||
| j5 | | Erhan Bayraktar, H. Vincent Poor: Quickest Detection of a Minimum of Two Poisson Disorder Times. SIAM J. Control and Optimization 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 | | |
| i8 | | |
| i7 | | Erhan Bayraktar, Bo Yang: A Unified Framework for Pricing Credit and Equity Derivatives. CoRR abs/0712.3617 (2007) |
| 2006 | ||
| j4 | | Erhan Bayraktar, Savas Dayanik: Poisson Disorder Problem with Exponential Penalty for Delay. Math. Oper. Res. 31(2): 217-233 (2006) |
| j3 | | Erhan Bayraktar, Ulrich Horst, Ronnie Sircar: 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, H. Vincent Poor, Raghuveer Rao: Prediction and tracking of long-range-dependent sequences. Systems & Control Letters 54(11): 1083-1090 (2005) |
| j1 | | Erhan Bayraktar, H. Vincent Poor: Stochastic Differential Games in a Non-Markovian Setting. SIAM J. Control and Optimization 43(5): 1737-1756 (2005) |
| 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) |
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