Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

2074 East Hall

530 Church Street

Ann Arbor, MI 48109-1043

United States

  • University of Michigan at Ann Arbor - Department of Mathematics

SCHOLARLY PAPERS

70

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Scholarly Papers (70)

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1.

Large Tournament Games

Number of pages: 57 Posted: 12 Feb 2018 Last Revised: 05 Nov 2018
Erhan Bayraktar, Jaksa Cvitanic and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics, California Institute of Technology - Division of the Humanities and Social Sciences and University of Toronto - Department of Statistics
Downloads 251 (128,559)
Citation 1

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Tournaments, rank-based rewards, mechanism design, mean field games, bifurcation diagram of Nash equilibria

2.

Mini-Flash Crashes, Model Risk, and Optimal Execution

Number of pages: 48 Posted: 30 May 2017
Erhan Bayraktar and Alexander Munk
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 191 (166,905)
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Flash Crash, Knightian Uncertainty, Model Error, Optimal Execution

3.

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

Journal of Economic Dynamics and Control, Vol. 33, No. 3, 2009
Number of pages: 25 Posted: 31 Jan 2009 Last Revised: 25 Jan 2014
Erhan Bayraktar, Moshe A. Milevsky, S. D. Promislow and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics, York University - Schulich School of Business, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 163 (191,869)
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Stochastic mortality, pricing, annuities, Sharpe ratio, non-linear partial differential equations, market price of risk, equivalent martingale measures

4.

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

Number of pages: 30 Posted: 14 May 2016
Erhan Bayraktar and Alexander Munk
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 130 (230,864)
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parimutuel wagering, large generalized games, nash equilibrium

5.

Quantile Hedging in a Semi-Static Market with Model Uncertainty

Number of pages: 28 Posted: 21 Aug 2014 Last Revised: 25 Sep 2017
Erhan Bayraktar and Gu Wang
University of Michigan at Ann Arbor - Department of Mathematics and Worcester Polytechnic Institute
Downloads 123 (240,734)

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Quantile hedging, Model Uncertainty, Semi-static Hedging, Neyman-Pearson Lemma

6.

Optimal Investment to Minimize the Probability of Drawdown

Stochastics, Forthcoming
Number of pages: 15 Posted: 18 Feb 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Washington, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 106 (267,911)

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Optimal investment, stochastic optimal control, probability of drawdown

7.

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

SIAM Journal on Control and Optimization (2009), 48 (2), 551-572
Number of pages: 18 Posted: 23 May 2008 Last Revised: 25 Jan 2014
Erhan Bayraktar
University of Michigan at Ann Arbor - Department of Mathematics
Downloads 103 (273,275)
Citation 1

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Optimal Stopping, Markov Processes, Jump Diffusions, American Options, Integro-Differential Equations

8.

Recombining Tree Approximations for Optimal Stopping for Diffusions

Number of pages: 27 Posted: 01 Mar 2017
Erhan Bayraktar, Yan Dolinsky and Jia Guo
University of Michigan at Ann Arbor - Department of Mathematics, ETH Zürich and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 101 (276,986)
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American Options, Optimal Stopping, Recombining Trees, Skorokhod Embedding

9.

Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

Forthcoming, Mathematics of Operations Research
Number of pages: 24 Posted: 08 Feb 2014 Last Revised: 31 Aug 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 85 (309,229)
Citation 3

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Transaction costs, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, martingale selection problem

10.

Outperforming the Market Portfolio with a Given Probability

The Annals of Applied Probability (2012), Vol. 22, No. 4, 1465-1494
Number of pages: 30 Posted: 01 Feb 2014
Erhan Bayraktar, Yu-Jui Huang and Qingshuo Song
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and City University of Hong Kong (CityUHK)
Downloads 76 (330,507)

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strict local martingale deflators, optimal arbitrage, quantile hedging, viscosity solutions, nonuniqueness of solutions of nonlinear PDEs

11.

Arbitrage, Hedging and Utility Maximization Using Semi-Static Trading Strategies with American Options

Number of pages: 14 Posted: 26 Feb 2015 Last Revised: 27 Feb 2015
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 71 (343,285)
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Fundamental theorem of asset pricing, hedging duality, utility maximization, semi-static trading strategies, American options

12.

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

Number of pages: 27 Posted: 05 Mar 2018
Erhan Bayraktar, Jingjie Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 70 (346,002)

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Time-inconsistency, optimal stopping, liquidation strategy, mean-variance problem, subgame perfect Nash equilibrium

13.

On the Market Viability Under Proportional Transaction Costs

Downloads 70 (346,002)
Citation 2

On the Market Viability Under Proportional Transaction Costs

Number of pages: 34 Posted: 02 Feb 2014 Last Revised: 11 Apr 2016
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
Downloads 69 (352,820)
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Proportional Transaction Costs, (Robust) No Unbounded Profit with Bounded Risk, Strictly Consistent Local Martingale Systems, (Robust) No Local Arbitrage with Bounded Portfolios, Utility Maximization, Market Viability, Numeraire Portfolios

On the Market Viability Under Proportional Transaction Costs

Mathematical Finance, Vol. 28, Issue 3, pp. 800-838, 2018
Number of pages: 39 Posted: 14 Jun 2018
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
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utility maximization, market viability, numéraire portfolios, proportional transaction costs, (robust) no unbounded profit with bounded risk, (robust) no local arbitrage with bounded portfolios, strictly consistent local martingale systems

14.

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

SIAM Journal on Control and Optimization, 53(1), 58-90, 2015
Number of pages: 35 Posted: 07 Feb 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 66 (357,066)
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Probability of lifetime ruin, ambiguity aversion, drift uncertainty, viscosity solutions, Perron’s method, regularity

15.

On Hedging American Options Under Model Uncertainty

Number of pages: 20 Posted: 27 Jan 2014
Erhan Bayraktar, Yu-Jui Huang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Colorado at Boulder - Department of Applied Mathematics and The University of Sydney
Downloads 63 (365,852)
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American options, model independent pricing, semi-static hedging strategies

16.

A Note on the Fundamental Theorem of Asset Pricing Under Model Uncertainty

Risks, 2(4), 425-433, 2014
Number of pages: 9 Posted: 17 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar, Yuchong Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Toronto - Department of Statistics and The University of Sydney
Downloads 47 (418,565)

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Model uncertainty, bid-ask prices for options, semi-static hedging, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, super-hedging, robust no-arbitrage, non-redundant options

17.

Optimal Dividends in the Dual Model Under Transaction Costs

Insurance: Mathematics and Economics, Vol. 54, 2014
Number of pages: 22 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 46 (422,350)

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dual model, dividends, impulse control, spectrally positive Levy processes, scale functions

18.

Super-Hedging American Options with Semi-Static Trading Strategies Under Model Uncertainty

Number of pages: 8 Posted: 28 May 2016
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 44 (429,940)
Citation 2

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American options, super-hedging, model uncertainty, semi-static trading strategies, randomized models

19.

Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices

Number of pages: 36 Posted: 15 May 2016
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
Downloads 43 (433,813)
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Proportional Transaction Costs, Unbounded Random Endowments, Acceptable Portfolios, Superhedging Theorem, Utility Maximization, Shadow Prices, Convex Duality

20.

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

SIAM Journal on Control and Optimization, 53(1), 91-113, 2015
Number of pages: 24 Posted: 30 Apr 2014 Last Revised: 09 May 2015
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 42 (437,704)

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Stochastic Perron's method, singular control, probability of lifetime ruin, transaction costs, viscosity solutions, comparison principle

21.

On the Robust Optimal Stopping Problem

SIAM Journal on Control and Optimization, Vol. 52, No. 5, pp. 3135–3175, 2013
Number of pages: 50 Posted: 02 Feb 2014 Last Revised: 10 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 42 (437,704)
Citation 2

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robust optimal stopping, zero-sum game of control and stopping, volatility uncertainty, dynamic programming principle, Snell envelope, nonlinear expectation, weak stability under pasting, path-dependent stochastic differential equations with controls

22.

On Zero-Sum Optimal Stopping Games

Number of pages: 8 Posted: 19 Aug 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 40 (445,902)
Citation 3

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Stopping games with priority, non-anticipative stopping strategies, American options

23.

Martingale Optimal Transport with Stopping

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 18 Posted: 03 Mar 2017 Last Revised: 24 Nov 2017
Erhan Bayraktar, Alexander Cox and Yavor Stoev
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 38 (454,301)
Citation 1

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martingale optimal transport, dynamic programming, optimal stopping, stochastic Perron method, viscosity solutions, concave envelope, distribution constraints

24.

No-Arbitrage and Hedging with Liquid American Options

Number of pages: 21 Posted: 28 May 2016
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 38 (454,301)
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25.

Purchasing Life Insurance to Reach a Bequest Goal

Number of pages: 30 Posted: 22 Feb 2014 Last Revised: 23 Feb 2014
Erhan Bayraktar, S. D. Promislow and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 37 (458,455)

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Term life insurance, whole life insurance, bequest motive, deterministic control

26.

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

SIAM Journal on Control and Optimization, 51(6), 4274-4294, 2013
Number of pages: 21 Posted: 27 Jan 2014
Erhan Bayraktar and Mihai Sirbu
University of Michigan at Ann Arbor - Department of Mathematics and University of Texas at Austin
Downloads 37 (458,455)
Citation 1

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Perron's method, viscosity solutions, non-smooth verification, comparison principle

27.

Risk Sensitive Control of the Lifetime Ruin Problem

Number of pages: 28 Posted: 22 Mar 2015
Erhan Bayraktar and Asaf Cohen
University of Michigan at Ann Arbor - Department of Mathematics and University of Haifa- Department of Statistics
Downloads 36 (462,828)

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Probability of lifetime ruin, optimal investment, risk sensitive control, large deviations, differential games

28.

Unanticipated Features of the Multidimensional G-Normal Distribution

Number of pages: 16 Posted: 20 Jul 2014
Erhan Bayraktar and Alexander Munk
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 36 (462,828)

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sublinear expectation; multi-dimensional G-normal distribution, independence

29.

Queueing Theoretic Approaches to Financial Price Fluctuations

in Handbooks in OR&MS: Financial Engineering, 15, eds. John Birge and Vadim Linetsky, (Elsevier)
Number of pages: 36 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 35 (467,242)

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30.

Liquidation in Limit Order Books with Controlled Intensity

Downloads 35 (467,242)
Citation 31

Liquidation in Limit Order Books with Controlled Intensity

Mathematical Finance, Forthcoming, DOI: 10.1111/j.1467-9965.2012.00529.x
Number of pages: 23 Posted: 27 Jan 2014
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
Downloads 35 (478,269)

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Limit order books, controlled intensity, optimal control of point processes, optimal control of queueing networks, fluid limit

Liquidation in Limit Order Books with Controlled Intensity

Mathematical Finance, Vol. 24, Issue 4, pp. 627-650, 2014
Number of pages: 24 Posted: 24 Sep 2014
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
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Limit order books, controlled intensity, optimal control of point processes, optimal control of queueing networks, fluid limit

31.

Optimally Investing to Reach a Bequest Goal

Number of pages: 24 Posted: 05 Mar 2015 Last Revised: 26 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 34 (471,678)
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Bequest motive, consumption, optimal investment, stochastic control

32.

On Arbitrage and Duality Under Model Uncertainty and Portfolio Constraints

Downloads 34 (471,678)
Citation 2

On Arbitrage and Duality Under Model Uncertainty and Portfolio Constraints

Number of pages: 20 Posted: 13 Feb 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 34 (483,071)
Citation 1

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Fundamental theorem of asset pricing, sub-(super-)hedging, model uncertainty, portfolio constraints, optional decomposition

On Arbitrage and Duality Under Model Uncertainty and Portfolio Constraints

Mathematical Finance, Vol. 27, Issue 4, pp. 988-1012, 2017
Number of pages: 25 Posted: 19 Sep 2017
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
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fundamental theorem of asset pricing, sub‐(super‐)hedging, model uncertainty, portfolio constraints, optional decomposition

33.

Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 21 May 2016
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Washington, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 32 (481,079)
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Optimal investment, stochastic optimal control, probability of drawdown

34.

A Rank-Based Mean Field Game in the Strong Formulation

Electronic Communications in Probability, 21, paper no. 72, 1-12, 2016
Number of pages: 12 Posted: 13 May 2016 Last Revised: 30 Jun 2019
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 32 (481,079)
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Mean Field Games, Competition, Common Noise, Rank-Dependent Interaction, Non-Local Interaction, Strong Formulation

35.

Robust Maximization of Asymptotic Growth Under Covariance Uncertainty

The Annals of Applied Probability (2013), Vol. 23, No. 5, pp. 1817–1840.
Number of pages: 25 Posted: 01 Feb 2014
Erhan Bayraktar and Yu-Jui Huang
University of Michigan at Ann Arbor - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 32 (481,079)

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asymptotic growth rate, robustness, covariance uncertainty, Pucci’s operator, principal eigenvalue for fully nonlinear elliptic operators

36.

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

SIAM Journal on Control and Optimization, 51 (3), 2036-2080, 2013
Number of pages: 42 Posted: 15 Feb 2014 Last Revised: 10 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 31 (485,911)

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Zero-sum stochastic differential games, Elliott-Kalton strategies, weak dynamic programming principle, backward stochastic differential equations, viscosity solutions, fully non-linear PDEs.

37.

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

Number of pages: 36 Posted: 18 Jul 2017 Last Revised: 20 Jul 2018
Erhan Bayraktar and Asaf Cohen
University of Michigan at Ann Arbor - Department of Mathematics and University of Haifa- Department of Statistics
Downloads 30 (490,940)
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Game theory, Mean-field games, master equation, fluctuations, finite state control problem, Markov chains

38.

On Optimal Dividends in the Dual Model

Astin Bulletin, vol. 43, no. 3, 2013, pp 359 - 372
Number of pages: 13 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 30 (490,940)

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Dual model, dividends, capital injections, spectrally positive Levy processes, scale functions

39.

Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis

International Journal of Theoretical and Applied Finance, Vol. 7, No. 5, 2004
Number of pages: 26 Posted: 30 May 2016
Erhan Bayraktar, H. Vincent Poor and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Princeton University - Department of Electrical Engineering and Princeton University - Department of Operations Research and Financial Engineering
Downloads 29 (496,004)

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High-frequency data, S\&P 500 index, long range dependence, heavy tailed marginals, fractional Brownian motion, wavelet analysis, log scale spectrum

40.

Optimal Stopping for Dynamic Convex Risk Measures

Illinois Journal of Mathematics, 54, 1025-1067, 2010
Number of pages: 43 Posted: 16 Feb 2014 Last Revised: 08 Jul 2016
Erhan Bayraktar, Ioannis Karatzas and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics, Columbia University - Department of Statistics and University of Pittsburgh
Downloads 28 (501,427)

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Convex risk measures, continuous-time optimal stopping, robustness methods, zero sum games, saddle point, reflected backward stochastic differential equations, BMO martingales

41.

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

SIAM J. Financial Mathematics, to appear (2019)
Number of pages: 34 Posted: 11 Jul 2018 Last Revised: 27 Mar 2019
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Washington, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 27 (506,813)
Citation 1

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Optimal Dividend, Drawdown Constraint, Ratcheting, Stochastic Control, Optimal Control, Variational Inequality, Free-Boundary Problem

42.

Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming

SIAM Journal on Finance, Forthcoming
Number of pages: 31 Posted: 02 Mar 2016
Erhan Bayraktar, S. D. Promislow and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics, York University - Department of Mathematics & Statistics and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 25 (518,045)
Citation 1

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Term life insurance, bequest motive, consumption, optimal investment, stochastic control

43.

Transport Plans with Domain Constraints

Number of pages: 21 Posted: 01 May 2018 Last Revised: 30 Aug 2019
Erhan Bayraktar, Xin Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 24 (523,943)

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Option Pricing, Strassen's Theorem, Kellerer's Theorem, Martingale optimal transport, domain constraints, bounded volatility/quadratic variation, G-expectations, Kantorovich duality, monotonicity principle

44.

Distribution-Constrained Optimal Stopping

Downloads 24 (523,943)

Distribution-Constrained Optimal Stopping

Forthcoming in Mathematical Finance
Number of pages: 34 Posted: 08 Jul 2017 Last Revised: 30 Dec 2018
Erhan Bayraktar and Christopher Miller
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Berkeley - Department of Mathematics
Downloads 23 (546,821)

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Robust hedging with a volatility outlook

Distribution‐Constrained Optimal Stopping

Mathematical Finance, Vol. 29, Issue 1, pp. 368-406, 2019
Number of pages: 39 Posted: 11 Jan 2019
Erhan Bayraktar and Christopher Miller
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Berkeley - Department of Mathematics
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distribution constraints, optimal stopping, optimal control, robust hedging with a volatility outlook, state constraints

45.

On an Optimal Stopping Problem of an Insider

Number of pages: 6 Posted: 23 Apr 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
Downloads 24 (523,943)

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optimal stopping problem of an insider, Reflected Backward Stochastic Differential Equations (RBSDEs), Levy's modulus for Brownian motion

46.

On the Impulse Control of Jump Diffusions

SIAM Journal on Control and Optimization, 51 (3), 2612-2637, 2013
Number of pages: 24 Posted: 25 Feb 2014
Erhan Bayraktar, Thomas Emmerling and Jose Menaldi
University of Michigan at Ann Arbor - Department of Mathematics, Zicklin School of Business, Baruch College - The City University of New York and Wayne State University
Downloads 24 (523,943)

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Impulse Control, PIDE, Regularity

47.

Optimal Stopping for Non-Linear Expectations - Part I

Stochastic Processes and Their Applications, 121(2), 185-211, 2011
Number of pages: 22 Posted: 15 Feb 2014 Last Revised: 10 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 24 (523,943)

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Nonlinear expectations, Optimal stopping, Snell envelope, Stability, g-expectations

48.

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps

Quantitative Finance, 11 (3), 335-341, 2011.
Number of pages: 9 Posted: 02 Feb 2014
Erhan Bayraktar
University of Michigan at Ann Arbor - Department of Mathematics
Downloads 21 (541,936)

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American options, jump diffusion, smooth fit, perpetual

49.

On the Multi-Dimensional Controller-and-Stopper Games

SIAM Journal on Control and Optimization (2013), Vol. 51, No. 2, pp. 1263-1297.
Number of pages: 35 Posted: 01 Feb 2014
Erhan Bayraktar and Yu-Jui Huang
University of Michigan at Ann Arbor - Department of Mathematics and University of Colorado at Boulder - Department of Applied Mathematics
Downloads 21 (541,936)

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controller-stopper games, weak dynamic programming principle, viscosity solutions, robust optimal stopping

50.

Continuity of Utility Maximization under Weak Convergence

Number of pages: 28 Posted: 07 Nov 2018 Last Revised: 06 Dec 2018
Erhan Bayraktar, Yan Dolinsky and Jia Guo
University of Michigan at Ann Arbor - Department of Mathematics, ETH Zürich and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 20 (548,050)

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Incomplete Markets, Utility Maximization, Weak Convergence

51.

Valuation Equations for Stochastic Volatility Models

SIAM J. Finan. Math., 3(1), 351–373, 2012.
Number of pages: 25 Posted: 28 May 2016
Erhan Bayraktar, Constantinos Kardaras and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 20 (548,050)

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stochastic volatility models, valuation equations, Feynman–Kac theorem, strict local martingales, necessary and sufficient conditions for uniqueness

52.

On the Robust Dynkin Game

Number of pages: 32 Posted: 21 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 19 (554,404)

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robust Dynkin game, nonlinear expectation, dynamic programming principle, controls in weak formulation, weak stability under pasting, martingale approach, path-dependent stochastic di erential equations with controls, optimal triplet, optimal stopping with random maturity

53.

A Limit Theorem for Financial Markets with Inert Investors

Mathematics of Operations Research, 2006, Volume 31 (4), 789-810.
Number of pages: 25 Posted: 30 May 2016
Erhan Bayraktar, Ulrich Horst and Ronnie Sircar
University of Michigan at Ann Arbor - Department of Mathematics, Humboldt University of Berlin and Princeton University - Department of Operations Research and Financial Engineering
Downloads 18 (560,594)

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Semi-Markov processes; fractional Brownian motion; functional central limit theorem; market microstructure; investor inertia.

54.

Terminal Ranking Games

Number of pages: 21 Posted: 27 Jun 2019
Erhan Bayraktar and Yuchong Zhang
University of Michigan at Ann Arbor - Department of Mathematics and University of Toronto - Department of Statistics
Downloads 17 (566,725)

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tournaments, rank-based rewards, mechanism design, mean field games, price of anarchy, Schrodinger bridges, Lorenz order

55.

Optimal Stopping with Random Maturity Under Nonlinear Expectations

Number of pages: 36 Posted: 21 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 16 (572,907)
Citation 2

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discretionary stopping, random maturity, controls in weak formulation, optimal stopping, nonlinear expectation, weak stability under pasting, Lipschitz continuous stopping time, dynamic programming principle, martingale approach.

56.

Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games

Stochastic Processes and their Applications 125 (2015) 4489–4542
Number of pages: 40 Posted: 20 Jul 2016 Last Revised: 21 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
Downloads 16 (572,907)

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BSDEs, Reflected BSDEs, Doubly reflected BSDEs, g-evaluation/expectation, Penalization, Optimal stopping problems, Pasting local solutions, Dynkin games, Saddle points.

57.

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

Applied Mathematical Finance, Vol. 16, No. 5, 2009
Number of pages: 23 Posted: 24 Feb 2014
Erhan Bayraktar and Bo Yang
University of Michigan at Ann Arbor - Department of Mathematics and Morgan Stanley
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Pricing multiname credit derivatives, pertubation approximation, multiple time scales, time changed birth processes, index/tranche swap, calibration

58.

Strict Local Martingale Deflators and Valuing American Call-Type Options

Finance Stochastics, Vol. 16, No. 2, 2012
Number of pages: 17 Posted: 28 May 2016
Erhan Bayraktar, Constantinos Kardaras and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
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Strict local martingales, Deflators, American call options

59.

Weak Reflection Principle for Levy Processes

Number of pages: 33 Posted: 18 Jul 2014
Erhan Bayraktar and Sergey Nadtochiy
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
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Weak reflection principle, barrier options, static hedging, Levy processes

60.

Optimal Stopping for Non-Linear Expectations - Part II

Stochastic Processes and Their Applications, 121(2), 212-264, 2011
Number of pages: 38 Posted: 15 Feb 2014 Last Revised: 10 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
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Nonlinear expectations, Optimal stopping, Snell envelope, Stability, g-expectations

61.

Quadratic Reflected BSDEs with Unbounded Obstacles

Stochastic Processes and their Applications, 122 (4), 1155-1203, 2012
Number of pages: 60 Posted: 15 Feb 2014 Last Revised: 10 Jul 2016
Erhan Bayraktar and Song Yao
University of Michigan at Ann Arbor - Department of Mathematics and University of Pittsburgh
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Quadratic reflected backward stochastic differential equations, concave generator, Legenre-Fenchel duality, optimal stopping problems for quadratic g-evaluations, theta-difference method, stability, obstacle problems for semi-linear parabolic PDEs, viscosity solutions.

62.

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

Siam Journal of Financial Math, Vol. 5, pp. 20-49, 2013
Number of pages: 29 Posted: 07 Feb 2014
Erhan Bayraktar and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
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controller-stopper problems, jumps, decomposition, indifference pricing, American options, RBSDEs

63.

On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time

Number of pages: 11 Posted: 14 Sep 2019
Erhan Bayraktar, Jingjie Zhang and Zhou Zhou
University of Michigan at Ann Arbor - Department of Mathematics, University of Michigan at Ann Arbor - Department of Mathematics and The University of Sydney
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Time-inconsistency, optimal stopping, strong equilibria, weak equilibria, mild equilibria, non-exponential discounting, subgame perfect Nash equilibrium

64.

Proving Regularity of the Minimal Probability of Ruin Via a Game of Stopping and Control

Finance Stochastics, Vol. 15, No. 4, 2011
Number of pages: 31 Posted: 28 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
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probability of lifetime ruin, stochastic games, optimal stopping, optimal investment, viscosity solution, Hamilton-Jacobi-Bellman equation, variational inequality

65.

Minimizing the Expected Lifetime Spent in Drawdown Under Proportional Consumption

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 25 Aug 2015 Last Revised: 26 Aug 2015
Bahman Angoshtari, Erhan Bayraktar and V.R. Young
University of Washington, University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
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Drawdown, occupation time, optimal investment, stochastic control, free-boundary problem

66.

Correspondence between Lifetime Minimum Wealth and Utility of Consumption

Finance Stochastics, Vol. 11, 2007
Number of pages: 24 Posted: 28 May 2016
Erhan Bayraktar and V.R. Young
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
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Optimal control, Probability of ruin, Utility of consumption, Investment/consumption decisions

67.

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

Number of pages: 59 Posted: 02 Jan 2019
Erhan Bayraktar, Thomas Cayé and Ibrahim Ekren
University of Michigan at Ann Arbor - Department of Mathematics, Dublin City University - School of Mathematical Sciences and Florida State University
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utility maximization, portfolio choice, non-linear price impact, asymptotic expansion, viscosity solutions, homogenization

68.

Optimal Trade Execution in Illiquid Markets

Mathematical Finance, Vol. 21, Issue 4, pp. 681-701, 2011
Number of pages: 21 Posted: 23 Aug 2011
Erhan Bayraktar and Michael Ludkovski
University of Michigan at Ann Arbor - Department of Mathematics and University of California, Santa Barbara
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optimal order execution, liquidity modeling, dark pools, Markov‐modulated Poisson process

69.

A Unified Framework for Pricing Credit and Equity Derivatives

Mathematical Finance, Vol. 21, Issue 3, pp. 493-517, 2011
Number of pages: 25 Posted: 20 May 2011
Erhan Bayraktar and Bo Yang
University of Michigan at Ann Arbor - Department of Mathematics and Morgan Stanley
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defaultable bond, defaultable stock, equity options, stochastic interest rate, implied volatility, multiscale perturbation method

70.

Pricing Asian Options for Jump Diffusion

Mathematical Finance, Vol. 21, Issue 1, pp. 117-143, 2010
Number of pages: 27 Posted: 01 Jan 2011
Erhan Bayraktar and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics and London School of Economics & Political Science (LSE)
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pricing Asian options, jump diffusions, an iterative numerical scheme, classical solutions of integro partial differential equations