Details about Erhan Bayraktar

Access statistics for papers by Erhan Bayraktar.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pba1177

Working Papers

2024

1. DEX Specs: A Mean Field Approach to DeFi Currency Exchanges
   Papers, arXiv.org
2. Deep Signature Algorithm for Multi-dimensional Path-Dependent Options
   Papers, arXiv.org
3. On the mean-field limit of diffusive games through the master equation: extreme value analysis
   Papers, arXiv.org
4. Sequential optimal contracting in continuous time
   Papers, arXiv.org
5. The McCormick martingale optimal transport
   Papers, arXiv.org
6. Two-fund separation under hyperbolically distributed returns and concave utility function
   Papers, arXiv.org

2023

7. Arbitrage theory in a market of stochastic dimension
   Papers, arXiv.org View citations (2)
   See also Journal Article Arbitrage theory in a market of stochastic dimension, Mathematical Finance, Wiley Blackwell (2024) (2024)
8. Fitted Value Iteration Methods for Bicausal Optimal Transport
   Papers, arXiv.org
9. McKean-Vlasov equations involving hitting times: blow-ups and global solvability
   Papers, arXiv.org View citations (1)
10. Quantifying dimensional change in stochastic portfolio theory
    Papers, arXiv.org View citations (2)
    See also Journal Article Quantifying dimensional change in stochastic portfolio theory, Mathematical Finance, Wiley Blackwell (2024) (2024)
11. Systemic robustness: a mean-field particle system approach
    Papers, arXiv.org View citations (1)

2022

12. Data-Driven Nonparametric Robust Control under Dependence Uncertainty
    Papers, arXiv.org
    See also Chapter Data-Driven Non-Parametric Robust Control under Dependence Uncertainty, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2023) (2023)
13. Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes
    Papers, arXiv.org View citations (1)
    See also Journal Article Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes, Mathematical Finance, Wiley Blackwell (2023) (2023)
14. Nonparametric Adaptive Robust Control Under Model Uncertainty
    Papers, arXiv.org View citations (1)
15. Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case
    Papers, arXiv.org View citations (3)
16. Supermartingale Brenier's Theorem with full-marginals constraint
    Papers, arXiv.org
    See also Chapter Supermartingale Brenier’s Theorem with Full-Marginal Constraint, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2023) (2023)

2021

17. A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
    Papers, arXiv.org
18. On the Continuity of the Root Barrier
    Papers, arXiv.org
19. Optimal Investment and Consumption under a Habit-Formation Constraint
    Papers, arXiv.org View citations (1)

2020

20. Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case
    Papers, arXiv.org View citations (2)
    See also Journal Article Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case, Mathematical Finance, Wiley Blackwell (2021) View citations (1) (2021)
21. Continuity of Utility Maximization under Weak Convergence
    Papers, arXiv.org View citations (5)
22. Equilibrium concepts for time-inconsistent stopping problems in continuous time
    Papers, arXiv.org View citations (2)
    See also Journal Article Equilibrium concepts for time‐inconsistent stopping problems in continuous time, Mathematical Finance, Wiley Blackwell (2021) View citations (7) (2021)
23. Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
    Papers, arXiv.org View citations (6)
    See also Journal Article Extended weak convergence and utility maximisation with proportional transaction costs, Finance and Stochastics, Springer (2020) View citations (5) (2020)
24. On non-uniqueness in mean field games
    Papers, arXiv.org View citations (4)
25. Transport plans with domain constraints
    Papers, arXiv.org

2019

26. On the quasi-sure superhedging duality with frictions
    Papers, arXiv.org
    See also Journal Article On the quasi-sure superhedging duality with frictions, Finance and Stochastics, Springer (2020) View citations (2) (2020)
27. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
    Papers, arXiv.org View citations (17)
28. Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
    Papers, arXiv.org View citations (6)

2018

29. Mini-Flash Crashes, Model Risk, and Optimal Execution
    Papers, arXiv.org View citations (6)
30. No-arbitrage and hedging with liquid American options
    Papers, arXiv.org View citations (3)
    See also Journal Article No-Arbitrage and Hedging with Liquid American Options, Mathematics of Operations Research, INFORMS (2019) View citations (3) (2019)
31. Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
    Papers, arXiv.org View citations (2)

2017

32. Distribution-Constrained Optimal Stopping
    Papers, arXiv.org
    See also Journal Article Distribution‐constrained optimal stopping, Mathematical Finance, Wiley Blackwell (2019) View citations (4) (2019)
33. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
    Papers, arXiv.org View citations (5)
34. On Zero-sum Optimal Stopping Games
    Papers, arXiv.org View citations (2)
35. On the Market Viability under Proportional Transaction Costs
    Papers, arXiv.org View citations (3)
    See also Journal Article On the market viability under proportional transaction costs, Mathematical Finance, Wiley Blackwell (2018) View citations (11) (2018)
36. Quantile Hedging in a Semi-Static Market with Model Uncertainty
    Papers, arXiv.org
    See also Journal Article Quantile Hedging in a semi-static market with model uncertainty, Mathematical Methods of Operations Research, Springer (2018) View citations (1) (2018)
37. Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
    Papers, arXiv.org View citations (11)
    See also Journal Article SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2017) View citations (11) (2017)

2016

38. A rank based mean field game in the strong formulation
    Papers, arXiv.org View citations (3)
39. An $\alpha$-stable limit theorem under sublinear expectation
    Papers, arXiv.org View citations (1)
40. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
    Papers, arXiv.org View citations (8)
41. Minimizing the Probability of Lifetime Drawdown under Constant Consumption
    Papers, arXiv.org View citations (7)
    See also Journal Article Minimizing the probability of lifetime drawdown under constant consumption, Insurance: Mathematics and Economics, Elsevier (2016) View citations (3) (2016)
42. On the Robust Dynkin Game
    Papers, arXiv.org View citations (4)
43. On the Robust Optimal Stopping Problem
    Papers, arXiv.org View citations (2)
44. Optimal Investment to Minimize the Probability of Drawdown
    Papers, arXiv.org View citations (6)
45. Optimal Stopping with Random Maturity under Nonlinear Expectations
    Papers, arXiv.org
    See also Journal Article Optimal stopping with random maturity under nonlinear expectations, Stochastic Processes and their Applications, Elsevier (2017) View citations (3) (2017)
46. Optimally Investing to Reach a Bequest Goal
    Papers, arXiv.org View citations (10)
    See also Journal Article Optimally investing to reach a bequest goal, Insurance: Mathematics and Economics, Elsevier (2016) View citations (4) (2016)
47. Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
    Papers, arXiv.org View citations (4)
48. Risk Sensitive Control of the Lifetime Ruin Problem
    Papers, arXiv.org View citations (2)
49. Stochastic Perron for Stochastic Target Problems
    Papers, arXiv.org View citations (4)
    See also Journal Article Stochastic Perron for Stochastic Target Problems, Journal of Optimization Theory and Applications, Springer (2016) View citations (3) (2016)
50. Stochastic Perron for stochastic target games
    Papers, arXiv.org View citations (7)

2015

51. Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
    Papers, arXiv.org View citations (6)
    See also Journal Article Doubly reflected BSDEs with integrable parameters and related Dynkin games, Stochastic Processes and their Applications, Elsevier (2015) View citations (4) (2015)
52. Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
    Papers, arXiv.org View citations (7)
53. Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
    Papers, arXiv.org View citations (8)
    See also Journal Article Minimizing the expected lifetime spent in drawdown under proportional consumption, Finance Research Letters, Elsevier (2015) View citations (7) (2015)
54. On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
    Papers, arXiv.org View citations (9)
    See also Journal Article ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS, Mathematical Finance, Wiley Blackwell (2017) View citations (18) (2017)
55. On a Stopping Game in continuous time
    Papers, arXiv.org View citations (1)
56. On an Optimal Stopping Problem of an Insider
    Papers, arXiv.org
57. On hedging American options under model uncertainty
    Papers, arXiv.org View citations (26)
58. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
    Papers, arXiv.org View citations (5)
    See also Journal Article Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case, North American Actuarial Journal, Taylor & Francis Journals (2015) View citations (2) (2015)
59. Weak reflection principle for L\'evy processes
    Papers, arXiv.org View citations (3)

2014

60. A note on the Fundamental Theorem of Asset Pricing under model uncertainty
    Papers, arXiv.org View citations (9)
    See also Journal Article A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty, Risks, MDPI (2014) View citations (11) (2014)
61. Comparing the $G$-Normal Distribution to its Classical Counterpart
    Papers, arXiv.org
62. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
    Papers, arXiv.org View citations (3)
63. Purchasing Life Insurance to Reach a Bequest Goal
    Papers, arXiv.org View citations (9)
    See also Journal Article Purchasing life insurance to reach a bequest goal, Insurance: Mathematics and Economics, Elsevier (2014) View citations (7) (2014)
64. Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
    Papers, arXiv.org

2013

65. A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
    Papers, arXiv.org View citations (3)
66. A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
    Papers, arXiv.org View citations (1)
67. Life Insurance Purchasing to Maximize Utility of Household Consumption
    Papers, arXiv.org View citations (8)
    See also Journal Article Life Insurance Purchasing to Maximize Utility of Household Consumption, North American Actuarial Journal, Taylor & Francis Journals (2013) View citations (8) (2013)
68. On controller-stopper problems with jumps and their applications to indifference pricing of American options
    Papers, arXiv.org
69. On model-independent pricing/hedging using shortfall risk and quantiles
    Papers, arXiv.org
70. On optimal dividends in the dual model
    Papers, arXiv.org View citations (34)
    See also Journal Article ON OPTIMAL DIVIDENDS IN THE DUAL MODEL, ASTIN Bulletin, Cambridge University Press (2013) View citations (35) (2013)
71. On the Existence of Consistent Price Systems
    Papers, arXiv.org
72. On the Multi-Dimensional Controller and Stopper Games
    Papers, arXiv.org View citations (21)
73. On utility maximization with derivatives under model uncertainty
    Papers, arXiv.org
74. Robust maximization of asymptotic growth under covariance uncertainty
    Papers, arXiv.org View citations (7)

2012

75. Inventory Management with Partially Observed Nonstationary Demand
    Papers, arXiv.org
    See also Journal Article Inventory management with partially observed nonstationary demand, Annals of Operations Research, Springer (2010) View citations (15) (2010)
76. Liquidation in Limit Order Books with Controlled Intensity
    Papers, arXiv.org View citations (19)
    See also Journal Article LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY, Mathematical Finance, Wiley Blackwell (2014) View citations (59) (2014)
77. Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
    Papers, arXiv.org
    See also Journal Article Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin, Finance Research Letters, Elsevier (2008) View citations (4) (2008)
78. Outperforming the market portfolio with a given probability
    Papers, arXiv.org View citations (9)
79. Regularity of the Optimal Stopping Problem for Jump Diffusions
    Papers, arXiv.org View citations (4)
80. Stability of exponential utility maximization with respect to market perturbations
    Papers, arXiv.org View citations (1)
    See also Journal Article Stability of exponential utility maximization with respect to market perturbations, Stochastic Processes and their Applications, Elsevier (2013) View citations (6) (2013)
81. Valuation equations for stochastic volatility models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (15)
    Also in Papers, arXiv.org (2011) View citations (8)

2011

82. Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
    Papers, arXiv.org View citations (5)
    See also Journal Article Minimizing the probability of lifetime ruin under stochastic volatility, Insurance: Mathematics and Economics, Elsevier (2011) View citations (3) (2011)
83. On the Stability of Utility Maximization Problems
    Papers, arXiv.org View citations (2)
84. Optimal Stopping for Non-linear Expectations
    Papers, arXiv.org View citations (25)
85. Quadratic Reflected BSDEs with Unbounded Obstacles
    Papers, arXiv.org View citations (1)
    See also Journal Article Quadratic reflected BSDEs with unbounded obstacles, Stochastic Processes and their Applications, Elsevier (2012) View citations (6) (2012)

2010

86. Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
    Papers, arXiv.org View citations (11)
    See also Journal Article Proving regularity of the minimal probability of ruin via a game of stopping and control, Finance and Stochastics, Springer (2011) View citations (10) (2011)

2009

87. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
    Papers, arXiv.org View citations (1)
    See also Journal Article A unified treatment of dividend payment problems under fixed cost and implementation delays, Mathematical Methods of Operations Research, Springer (2010) View citations (5) (2010)
88. No Arbitrage Conditions For Simple Trading Strategies
    Papers, arXiv.org View citations (5)
    See also Journal Article No arbitrage conditions for simple trading strategies, Annals of Finance, Springer (2010) View citations (7) (2010)
89. On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
    Papers, arXiv.org
    See also Journal Article On the perpetual American put options for level dependent volatility models with jumps, Quantitative Finance, Taylor & Francis Journals (2009) (2009)
90. On the Stickiness Property
    Papers, arXiv.org View citations (5)
    See also Journal Article On the stickiness property, Quantitative Finance, Taylor & Francis Journals (2010) View citations (5) (2010)
91. On the uniqueness of classical solutions of Cauchy problems
    Papers, arXiv.org View citations (6)
92. Optimal Stopping for Dynamic Convex Risk Measures
    Papers, arXiv.org View citations (19)
93. Optimal Trade Execution in Illiquid Markets
    Papers, arXiv.org View citations (16)
94. Strict Local Martingale Deflators and Pricing American Call-Type Options
    Papers, arXiv.org View citations (5)

2008

95. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
    Papers, arXiv.org View citations (3)
96. Minimizing the Probability of Ruin when Consumption is Ratcheted
    Papers, arXiv.org View citations (4)
    See also Journal Article Minimizing the Probability of Ruin When Consumption is Ratcheted, North American Actuarial Journal, Taylor & Francis Journals (2008) View citations (4) (2008)
97. Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
    Papers, arXiv.org View citations (1)
    See also Journal Article Mutual fund theorems when minimizing the probability of lifetime ruin, Finance Research Letters, Elsevier (2008) View citations (1) (2008)
98. Optimal Investment Strategy to Minimize Occupation Time
    Papers, arXiv.org View citations (4)
    See also Journal Article Optimal investment strategy to minimize occupation time, Annals of Operations Research, Springer (2010) View citations (13) (2010)
99. Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
    Papers, arXiv.org View citations (1)
    See also Journal Article Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (27) (2009)

2007

100. A Limit Theorem for Financial Markets with Inert Investors
     Papers, arXiv.org View citations (7)
101. Correspondence between Lifetime Minimum Wealth and Utility of Consumption
     Papers, arXiv.org View citations (19)
     See also Journal Article Correspondence between lifetime minimum wealth and utility of consumption, Finance and Stochastics, Springer (2007) View citations (22) (2007)
102. Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
     Papers, arXiv.org View citations (10)
     See also Journal Article ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2004) View citations (18) (2004)
103. Minimizing the Lifetime Shortfall or Shortfall at Death
     Papers, arXiv.org View citations (1)
     See also Journal Article Minimizing the lifetime shortfall or shortfall at death, Insurance: Mathematics and Economics, Elsevier (2009) (2009)
104. Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
     Papers, arXiv.org View citations (29)
     See also Journal Article Minimizing the probability of lifetime ruin under borrowing constraints, Insurance: Mathematics and Economics, Elsevier (2007) View citations (24) (2007)
105. Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
     Papers, arXiv.org View citations (6)
106. Optimal Time to Change Premiums
     Papers, arXiv.org
     See also Journal Article Optimal time to change premiums, Mathematical Methods of Operations Research, Springer (2008) View citations (1) (2008)
107. Optimizing Venture Capital Investments in a Jump Diffusion Model
     Papers, arXiv.org View citations (1)
     See also Journal Article Optimizing venture capital investments in a jump diffusion model, Mathematical Methods of Operations Research, Springer (2008) View citations (27) (2008)
108. Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
     Papers, arXiv.org View citations (2)
     See also Journal Article Pricing options in incomplete equity markets via the instantaneous Sharpe ratio, Annals of Finance, Springer (2008) View citations (15) (2008)
109. Queueing Theoretic Approaches to Financial Price Fluctuations
     Papers, arXiv.org View citations (11)
110. The Effects of Implementation Delay on Decision-Making Under Uncertainty
     Papers, arXiv.org View citations (8)
     See also Journal Article The effects of implementation delay on decision-making under uncertainty, Stochastic Processes and their Applications, Elsevier (2007) View citations (7) (2007)

2003

111. Consistency Problems For Jump-Diffusion Models
     Finance, University Library of Munich, Germany
     See also Journal Article Consistency Problems for Jump-diffusion Models, Applied Mathematical Finance, Taylor & Francis Journals (2005) (2005)
112. Projecting the Forward Rate Flow on a Finite Dimensional Manifold
     Finance, University Library of Munich, Germany View citations (2)
     See also Journal Article PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2006) View citations (2) (2006)

Journal Articles

2024

1. Arbitrage theory in a market of stochastic dimension
   Mathematical Finance, 2024, 34, (3), 847-895
   See also Working Paper Arbitrage theory in a market of stochastic dimension, Papers (2023) View citations (2) (2023)
2. Quantifying dimensional change in stochastic portfolio theory
   Mathematical Finance, 2024, 34, (3), 977-1021
   See also Working Paper Quantifying dimensional change in stochastic portfolio theory, Papers (2023) View citations (2) (2023)
3. Stochastic control/stopping problem with expectation constraints
   Stochastic Processes and their Applications, 2024, 176, (C)

2023

4. Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
   Mathematical Finance, 2023, 33, (3), 797-841
   See also Working Paper Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes, Papers (2022) View citations (1) (2022)
5. Graphon particle system: Uniform-in-time concentration bounds
   Stochastic Processes and their Applications, 2023, 156, (C), 196-225

2022

6. Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games
   Mathematics of Operations Research, 2022, 47, (4), 2840-2890
7. Stationarity and uniform in time convergence for the graphon particle system
   Stochastic Processes and their Applications, 2022, 150, (C), 532-568 View citations (1)

2021

8. A Macroeconomic SIR Model for COVID-19
   Mathematics, 2021, 9, (16), 1-24 View citations (3)
9. Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
   Mathematical Finance, 2021, 31, (1), 36-108 View citations (1)
   See also Working Paper Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case, Papers (2020) View citations (2) (2020)
10. Embedding of Walsh Brownian motion
    Stochastic Processes and their Applications, 2021, 134, (C), 1-28 View citations (1)
11. Equilibrium concepts for time‐inconsistent stopping problems in continuous time
    Mathematical Finance, 2021, 31, (1), 508-530 View citations (7)
    See also Working Paper Equilibrium concepts for time-inconsistent stopping problems in continuous time, Papers (2020) View citations (2) (2020)
12. Mean field interaction on random graphs with dynamically changing multi-color edges
    Stochastic Processes and their Applications, 2021, 141, (C), 197-244 View citations (2)
13. Terminal Ranking Games
    Mathematics of Operations Research, 2021, 46, (4), 1349-1365

2020

14. Extended weak convergence and utility maximisation with proportional transaction costs
    Finance and Stochastics, 2020, 24, (4), 1013-1034 View citations (5)
    See also Working Paper Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs, Papers (2020) View citations (6) (2020)
15. On the quasi-sure superhedging duality with frictions
    Finance and Stochastics, 2020, 24, (1), 249-275 View citations (2)
    See also Working Paper On the quasi-sure superhedging duality with frictions, Papers (2019) (2019)

2019

16. Distribution‐constrained optimal stopping
    Mathematical Finance, 2019, 29, (1), 368-406 View citations (4)
    See also Working Paper Distribution-Constrained Optimal Stopping, Papers (2017) (2017)
17. No-Arbitrage and Hedging with Liquid American Options
    Mathematics of Operations Research, 2019, 44, (2), 468-486 View citations (3)
    See also Working Paper No-arbitrage and hedging with liquid American options, Papers (2018) View citations (3) (2018)

2018

18. On the market viability under proportional transaction costs
    Mathematical Finance, 2018, 28, (3), 800-838 View citations (11)
    See also Working Paper On the Market Viability under Proportional Transaction Costs, Papers (2017) View citations (3) (2017)
19. Quantile Hedging in a semi-static market with model uncertainty
    Mathematical Methods of Operations Research, 2018, 87, (2), 197-227 View citations (1)
    See also Working Paper Quantile Hedging in a Semi-Static Market with Model Uncertainty, Papers (2017) (2017)

2017

20. ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
    Mathematical Finance, 2017, 27, (4), 988-1012 View citations (18)
    See also Working Paper On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints, Papers (2015) View citations (9) (2015)
21. Optimal stopping with random maturity under nonlinear expectations
    Stochastic Processes and their Applications, 2017, 127, (8), 2586-2629 View citations (3)
    See also Working Paper Optimal Stopping with Random Maturity under Nonlinear Expectations, Papers (2016) (2016)
22. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-10 View citations (11)
    See also Working Paper Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty, Papers (2017) View citations (11) (2017)

2016

23. Minimizing the probability of lifetime drawdown under constant consumption
    Insurance: Mathematics and Economics, 2016, 69, (C), 210-223 View citations (3)
    See also Working Paper Minimizing the Probability of Lifetime Drawdown under Constant Consumption, Papers (2016) View citations (7) (2016)
24. Optimally investing to reach a bequest goal
    Insurance: Mathematics and Economics, 2016, 70, (C), 1-10 View citations (4)
    See also Working Paper Optimally Investing to Reach a Bequest Goal, Papers (2016) View citations (10) (2016)
25. Stochastic Perron for Stochastic Target Problems
    Journal of Optimization Theory and Applications, 2016, 170, (3), 1026-1054 View citations (3)
    See also Working Paper Stochastic Perron for Stochastic Target Problems, Papers (2016) View citations (4) (2016)

2015

26. Doubly reflected BSDEs with integrable parameters and related Dynkin games
    Stochastic Processes and their Applications, 2015, 125, (12), 4489-4542 View citations (4)
    See also Working Paper Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games, Papers (2015) View citations (6) (2015)
27. Minimizing the expected lifetime spent in drawdown under proportional consumption
    Finance Research Letters, 2015, 15, (C), 106-114 View citations (7)
    See also Working Paper Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption, Papers (2015) View citations (8) (2015)
28. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
    North American Actuarial Journal, 2015, 19, (3), 224-236 View citations (2)
    See also Working Paper Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case, Papers (2015) View citations (5) (2015)

2014

29. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
    Risks, 2014, 2, (4), 1-9 View citations (11)
    See also Working Paper A note on the Fundamental Theorem of Asset Pricing under model uncertainty, Papers (2014) View citations (9) (2014)
30. LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
    Mathematical Finance, 2014, 24, (4), 627-650 View citations (59)
    See also Working Paper Liquidation in Limit Order Books with Controlled Intensity, Papers (2012) View citations (19) (2012)
31. Optimal dividends in the dual model under transaction costs
    Insurance: Mathematics and Economics, 2014, 54, (C), 133-143 View citations (32)
32. Optimal reinsurance and investment with unobservable claim size and intensity
    Insurance: Mathematics and Economics, 2014, 55, (C), 156-166 View citations (35)
33. Purchasing life insurance to reach a bequest goal
    Insurance: Mathematics and Economics, 2014, 58, (C), 204-216 View citations (7)
    See also Working Paper Purchasing Life Insurance to Reach a Bequest Goal, Papers (2014) View citations (9) (2014)

2013

34. Life Insurance Purchasing to Maximize Utility of Household Consumption
    North American Actuarial Journal, 2013, 17, (2), 114-135 View citations (8)
    See also Working Paper Life Insurance Purchasing to Maximize Utility of Household Consumption, Papers (2013) View citations (8) (2013)
35. ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
    ASTIN Bulletin, 2013, 43, (3), 359-372 View citations (35)
    See also Working Paper On optimal dividends in the dual model, Papers (2013) View citations (34) (2013)
36. Stability of exponential utility maximization with respect to market perturbations
    Stochastic Processes and their Applications, 2013, 123, (5), 1671-1690 View citations (6)
    See also Working Paper Stability of exponential utility maximization with respect to market perturbations, Papers (2012) View citations (1) (2012)

2012

37. Quadratic reflected BSDEs with unbounded obstacles
    Stochastic Processes and their Applications, 2012, 122, (4), 1155-1203 View citations (6)
    See also Working Paper Quadratic Reflected BSDEs with Unbounded Obstacles, Papers (2011) View citations (1) (2011)
38. Strict local martingale deflators and valuing American call-type options
    Finance and Stochastics, 2012, 16, (2), 275-291 View citations (11)

2011

39. Minimizing the probability of lifetime ruin under stochastic volatility
    Insurance: Mathematics and Economics, 2011, 49, (2), 194-206 View citations (3)
    See also Working Paper Minimizing the Probability of Lifetime Ruin under Stochastic Volatility, Papers (2011) View citations (5) (2011)
40. Optimal stopping for non-linear expectations--Part I
    Stochastic Processes and their Applications, 2011, 121, (2), 185-211 View citations (27)
    Also in Stochastic Processes and their Applications, 2011, 121, (2), 212-264 (2011) View citations (22)
41. Proving regularity of the minimal probability of ruin via a game of stopping and control
    Finance and Stochastics, 2011, 15, (4), 785-818 View citations (10)
    See also Working Paper Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control, Papers (2010) View citations (11) (2010)

2010

42. A unified treatment of dividend payment problems under fixed cost and implementation delays
    Mathematical Methods of Operations Research, 2010, 71, (2), 325-351 View citations (5)
    See also Working Paper A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays, Papers (2009) View citations (1) (2009)
43. Inventory management with partially observed nonstationary demand
    Annals of Operations Research, 2010, 176, (1), 7-39 View citations (15)
    See also Working Paper Inventory Management with Partially Observed Nonstationary Demand, Papers (2012) (2012)
44. No arbitrage conditions for simple trading strategies
    Annals of Finance, 2010, 6, (1), 147-156 View citations (7)
    See also Working Paper No Arbitrage Conditions For Simple Trading Strategies, Papers (2009) View citations (5) (2009)
45. On the stickiness property
    Quantitative Finance, 2010, 10, (10), 1109-1112 View citations (5)
    See also Working Paper On the Stickiness Property, Papers (2009) View citations (5) (2009)
46. Optimal investment strategy to minimize occupation time
    Annals of Operations Research, 2010, 176, (1), 389-408 View citations (13)
    See also Working Paper Optimal Investment Strategy to Minimize Occupation Time, Papers (2008) View citations (4) (2008)

2009

47. Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
    North American Actuarial Journal, 2009, 13, (1), 141-154 View citations (2)
48. Minimizing the lifetime shortfall or shortfall at death
    Insurance: Mathematics and Economics, 2009, 44, (3), 447-458
    See also Working Paper Minimizing the Lifetime Shortfall or Shortfall at Death, Papers (2007) View citations (1) (2007)
49. Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives
    Applied Mathematical Finance, 2009, 16, (5), 429-449 View citations (2)
50. On the perpetual American put options for level dependent volatility models with jumps
    Quantitative Finance, 2009, 11, (3), 335-341
    See also Working Paper On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps, Papers (2009) (2009)
51. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
    Mathematical Methods of Operations Research, 2009, 70, (3), 505-525 View citations (1)
52. Relative Hedging of Systematic Mortality Risk
    North American Actuarial Journal, 2009, 13, (1), 106-140 View citations (3)
53. Sequential tracking of a hidden Markov chain using point process observations
    Stochastic Processes and their Applications, 2009, 119, (6), 1792-1822 View citations (7)
54. Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
    Journal of Economic Dynamics and Control, 2009, 33, (3), 676-691 View citations (27)
    See also Working Paper Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities, Papers (2008) View citations (1) (2008)

2008

55. Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
    Finance Research Letters, 2008, 5, (4), 204-212 View citations (4)
    See also Working Paper Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin, Papers (2012) (2012)
56. Minimizing the Probability of Lifetime Ruin under Random Consumption
    North American Actuarial Journal, 2008, 12, (4), 384-400 View citations (3)
57. Minimizing the Probability of Ruin When Consumption is Ratcheted
    North American Actuarial Journal, 2008, 12, (4), 428-442 View citations (4)
    See also Working Paper Minimizing the Probability of Ruin when Consumption is Ratcheted, Papers (2008) View citations (4) (2008)
58. Mutual fund theorems when minimizing the probability of lifetime ruin
    Finance Research Letters, 2008, 5, (2), 69-78 View citations (1)
    See also Working Paper Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin, Papers (2008) View citations (1) (2008)
59. Optimal time to change premiums
    Mathematical Methods of Operations Research, 2008, 68, (1), 125-158 View citations (1)
    See also Working Paper Optimal Time to Change Premiums, Papers (2007) (2007)
60. Optimizing venture capital investments in a jump diffusion model
    Mathematical Methods of Operations Research, 2008, 67, (1), 21-42 View citations (27)
    See also Working Paper Optimizing Venture Capital Investments in a Jump Diffusion Model, Papers (2007) View citations (1) (2007)
61. Pricing Options on Defaultable Stocks
    Applied Mathematical Finance, 2008, 15, (3), 277-304 View citations (4)
62. Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
    Annals of Finance, 2008, 4, (4), 399-429 View citations (15)
    See also Working Paper Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio, Papers (2007) View citations (2) (2007)

2007

63. Correspondence between lifetime minimum wealth and utility of consumption
    Finance and Stochastics, 2007, 11, (2), 213-236 View citations (22)
    See also Working Paper Correspondence between Lifetime Minimum Wealth and Utility of Consumption, Papers (2007) View citations (19) (2007)
64. Hedging life insurance with pure endowments
    Insurance: Mathematics and Economics, 2007, 40, (3), 435-444 View citations (10)
65. Minimizing the probability of lifetime ruin under borrowing constraints
    Insurance: Mathematics and Economics, 2007, 41, (1), 196-221 View citations (24)
    See also Working Paper Minimizing the Probability of Lifetime Ruin under Borrowing Constraints, Papers (2007) View citations (29) (2007)
66. The effects of implementation delay on decision-making under uncertainty
    Stochastic Processes and their Applications, 2007, 117, (3), 333-358 View citations (7)
    See also Working Paper The Effects of Implementation Delay on Decision-Making Under Uncertainty, Papers (2007) View citations (8) (2007)

2006

67. PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (05), 777-785 View citations (2)
    See also Working Paper Projecting the Forward Rate Flow on a Finite Dimensional Manifold, Finance (2003) View citations (2) (2003)

2005

68. ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (03), 283-300 View citations (7)
69. Consistency Problems for Jump-diffusion Models
    Applied Mathematical Finance, 2005, 12, (2), 101-119
    See also Working Paper Consistency Problems For Jump-Diffusion Models, Finance (2003) (2003)
70. The standard Poisson disorder problem revisited
    Stochastic Processes and their Applications, 2005, 115, (9), 1437-1450 View citations (17)

2004

71. ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (05), 615-643 View citations (18)
    See also Working Paper Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis, Papers (2007) View citations (10) (2007)

Chapters

2023

1. Data-Driven Non-Parametric Robust Control under Dependence Uncertainty
   Chapter 5 in Peter Carr Gedenkschrift Research Advances in Mathematical Finance, 2023, pp 141-178
   See also Working Paper Data-Driven Nonparametric Robust Control under Dependence Uncertainty, arXiv.org (2022) (2022)
2. Supermartingale Brenier’s Theorem with Full-Marginal Constraint
   Chapter 17 in Peter Carr Gedenkschrift Research Advances in Mathematical Finance, 2023, pp 569-636
   See also Working Paper Supermartingale Brenier's Theorem with full-marginals constraint, arXiv.org (2022) (2022)