# Erhan Bayraktar

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## Personal Details

First Name: | Erhan |

Middle Name: | |

Last Name: | Bayraktar |

Suffix: | |

RePEc Short-ID: | pba1177 |

[This author has chosen not to make the email address public] | |

http://www.math.lsa.umich.edu/~erhan/ | |

- Erhan Bayraktar & Yuchong Zhang, 2016.
"
**A rank based mean field game in the strong formulation**," Papers 1603.06312, arXiv.org, revised Mar 2016. - Erhan Bayraktar & Zhou Zhou, 2016.
"
**Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty**," Papers 1604.04608, arXiv.org. - Erhan Bayraktar & Jiaqi Li, 2016.
"
**Stochastic Perron for Stochastic Target Problems**," Papers 1604.03906, arXiv.org, revised May 2016. - Erhan Bayraktar & Christopher W. Miller, 2016.
"
**Distribution-Constrained Optimal Stopping**," Papers 1604.03042, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Zhou Zhou, 2016.
"
**Arbitrage and hedging with liquid American options**," Papers 1605.01327, arXiv.org. - Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption**," Papers 1508.01914, arXiv.org, revised Aug 2015.- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"
**Minimizing the expected lifetime spent in drawdown under proportional consumption**," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.

- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"
- Erhan Bayraktar & Virginia R. Young & David Promislow, 2015.
"
**Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case**," Papers 1503.02237, arXiv.org. - Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Optimal Investment to Minimize the Probability of Drawdown**," Papers 1506.00166, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Asaf Cohen, 2015.
"
**Risk Sensitive Control of the Lifetime Ruin Problem**," Papers 1503.05769, arXiv.org, revised Mar 2016. - Erhan Bayraktar & Song Yao, 2015.
"
**Optimal Stopping with Random Maturity under Nonlinear Expectations**," Papers 1505.07533, arXiv.org, revised Jul 2015. - Erhan Bayraktar & Song Yao, 2015.
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**On the Robust Dynkin Game**," Papers 1506.09184, arXiv.org, revised Jul 2015. - Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Minimizing the Probability of Lifetime Drawdown under Constant Consumption**," Papers 1507.08713, arXiv.org, revised May 2016. - Erhan Bayraktar & Zhou Zhou, 2015.
"
**Arbitrage, hedging and utility maximization using semi-static trading strategies with American options**," Papers 1502.06681, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Xiang Yu, 2015.
"
**Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices**," Papers 1504.00310, arXiv.org, revised Dec 2015. - Erhan Bayraktar & Virginia R. Young, 2015.
"
**Optimally Investing to Reach a Bequest Goal**," Papers 1503.00961, arXiv.org, revised May 2016. - Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
**Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming**," Papers 1412.2262, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Song Yao, 2014.
"
**Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games**," Papers 1412.2053, arXiv.org, revised Jul 2015.- Bayraktar, Erhan & Yao, Song, 2015.
"
**Doubly reflected BSDEs with integrable parameters and related Dynkin games**," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.

- Bayraktar, Erhan & Yao, Song, 2015.
"
- Erhan Bayraktar & Alexander Munk, 2014.
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**Comparing the $G$-Normal Distribution to its Classical Counterpart**," Papers 1407.5139, arXiv.org, revised Dec 2014. - Erhan Bayraktar & Yuchong Zhang, 2014.
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**Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion**," Papers 1402.1809, arXiv.org, revised Nov 2014. - Erhan Bayraktar & Zhou Zhou, 2014.
"
**On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints**," Papers 1402.2596, arXiv.org, revised Mar 2015. - Erhan Bayraktar & Zhou Zhou, 2014.
"
**On a Stopping Game in continuous time**," Papers 1409.6773, arXiv.org, revised Jul 2015. - Erhan Bayraktar & Alexander Munk, 2014.
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**An $\alpha$-Stable Limit Theorem Under Sublinear Expectation**," Papers 1409.7960, arXiv.org, revised May 2015. - Erhan Bayraktar & Gu Wang, 2014.
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**Quantile Hedging in a Semi-Static Market with Model Uncertainty**," Papers 1408.4848, arXiv.org, revised Jul 2015. - Erhan Bayraktar & Jiaqi Li, 2014.
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**Stochastic Perron for stochastic target games**," Papers 1408.6799, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Zhou Zhou, 2014.
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**On Zero-sum Optimal Stopping Games**," Papers 1408.3692, arXiv.org, revised May 2015. - Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
**Purchasing Life Insurance to Reach a Bequest Goal**," Papers 1402.5300, arXiv.org, revised Jul 2014.- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
"
**Purchasing life insurance to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 204-216.

- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
"
- Erhan Bayraktar & Yuchong Zhang, 2014.
"
**Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs**," Papers 1404.7406, arXiv.org, revised Nov 2014. - Erhan Bayraktar & Zhou Zhou, 2013.
"
**On model-independent pricing/hedging using shortfall risk and quantiles**," Papers 1307.2493, arXiv.org. - Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013.
"
**A note on the Fundamental Theorem of Asset Pricing under model uncertainty**," Papers 1309.2728, arXiv.org, revised Sep 2014.- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
"
**A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty**," Risks, MDPI, Open Access Journal, vol. 2(4), pages 425-433, October.

- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
"
- Erhan Bayraktar & Song Yao, 2013.
"
**On the Robust Optimal Stopping Problem**," Papers 1301.0091, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Sergey Nadtochiy, 2013.
"
**Weak reflection principle for L\'evy processes**," Papers 1308.2250, arXiv.org, revised Oct 2015. - Erhan Bayraktar & Yuchong Zhang, 2013.
"
**Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty**," Papers 1309.1420, arXiv.org, revised Aug 2015. - Erhan Bayraktar & Xiang Yu, 2013.
"
**On the Market Viability under Proportional Transaction Costs**," Papers 1312.3917, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Zhou Zhou, 2013.
"
**On an Optimal Stopping Problem of an Insider**," Papers 1301.3100, arXiv.org, revised Apr 2015. - Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013.
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**On hedging American options under model uncertainty**," Papers 1309.2982, arXiv.org, revised Apr 2015. - Erhan Bayraktar & Zhou Zhou, 2013.
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**On utility maximization with derivatives under model uncertainty**," Papers 1307.4813, arXiv.org. - Erhan Bayraktar & Virginia R. Young, 2012.
"
**Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin**," Papers 1206.6268, arXiv.org.- Bayraktar, Erhan & Young, Virginia R., 2008.
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**Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin**," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.

- Bayraktar, Erhan & Young, Virginia R., 2008.
"
- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"
**On optimal dividends in the dual model**," Papers 1211.7365, arXiv.org, revised Jun 2013.- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
"
**On Optimal Dividends In The Dual Model**," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.

- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
"
- Erhan Bayraktar & Virginia R. Young, 2012.
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**Life Insurance Purchasing to Maximize Utility of Household Consumption**," Papers 1205.5958, arXiv.org, revised Jun 2013. - Erhan Bayraktar & Zhou Zhou, 2012.
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**On controller-stopper problems with jumps and their applications to indifference pricing of American options**," Papers 1212.4894, arXiv.org, revised Nov 2013. - Erhan Bayraktar & Mike Ludkovski, 2012.
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**Inventory Management with Partially Observed Nonstationary Demand**," Papers 1206.6283, arXiv.org.- Erhan Bayraktar & Michael Ludkovski, 2010.
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**Inventory management with partially observed nonstationary demand**," Annals of Operations Research, Springer, vol. 176(1), pages 7-39, April.

- Erhan Bayraktar & Michael Ludkovski, 2010.
"
- Nicole Bauerle & Erhan Bayraktar, 2012.
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**A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance**," Papers 1210.3800, arXiv.org, revised Jul 2013. - Erhan Bayraktar & Michael Ludkovski, 2011.
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**Liquidation in Limit Order Books with Controlled Intensity**," Papers 1105.0247, arXiv.org, revised Jan 2012.- Erhan Bayraktar & Michael Ludkovski, 2014.
"
**Liquidation In Limit Order Books With Controlled Intensity**," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.

- Erhan Bayraktar & Michael Ludkovski, 2014.
"
- Erhan Bayraktar & Arash Fahim, 2011.
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**A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems**," Papers 1109.5752, arXiv.org, revised Nov 2013. - Erhan Bayraktar & Yu-Jui Huang, 2011.
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**Robust maximization of asymptotic growth under covariance uncertainty**," Papers 1107.2988, arXiv.org, revised Sep 2013. - Erhan Bayraktar & Ross Kravitz, 2011.
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**Stability of exponential utility maximization with respect to market perturbations**," Papers 1107.2716, arXiv.org, revised Dec 2012.- Bayraktar, Erhan & Kravitz, Ross, 2013.
"
**Stability of exponential utility maximization with respect to market perturbations**," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1671-1690.

- Bayraktar, Erhan & Kravitz, Ross, 2013.
"
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
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**Valuation equations for stochastic volatility models**," Papers 1004.3299, arXiv.org, revised Dec 2011.- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012.
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**Valuation equations for stochastic volatility models**," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.

- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012.
"
- Erhan Bayraktar & Yu-Jui Huang, 2010.
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**On the Multi-Dimensional Controller and Stopper Games**," Papers 1009.0932, arXiv.org, revised Jan 2013. - Erhan Bayraktar & Ross Kravitz, 2010.
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**On the Stability of Utility Maximization Problems**," Papers 1010.4322, arXiv.org, revised Mar 2011. - Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song, 2010.
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**Outperforming the market portfolio with a given probability**," Papers 1006.3224, arXiv.org, revised Aug 2012. - Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010.
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**Minimizing the Probability of Lifetime Ruin under Stochastic Volatility**," Papers 1003.4216, arXiv.org, revised May 2011.- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
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**Minimizing the probability of lifetime ruin under stochastic volatility**," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.

- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
"
- Erhan Bayraktar & Song Yao, 2010.
"
**Quadratic Reflected BSDEs with Unbounded Obstacles**," Papers 1005.3565, arXiv.org, revised Mar 2011.- Bayraktar, Erhan & Yao, Song, 2012.
"
**Quadratic reflected BSDEs with unbounded obstacles**," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.

- Bayraktar, Erhan & Yao, Song, 2012.
"
- Erhan Bayraktar & Hao Xing, 2009.
"
**Regularity of the Optimal Stopping Problem for Jump Diffusions**," Papers 0902.2479, arXiv.org, revised Mar 2012. - Erhan Bayraktar & Mike Ludkovski, 2009.
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**Optimal Trade Execution in Illiquid Markets**," Papers 0902.2516, arXiv.org. - Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2009.
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**Strict Local Martingale Deflators and Pricing American Call-Type Options**," Papers 0908.1082, arXiv.org, revised Dec 2009. - Erhan Bayraktar & Hao Xing, 2009.
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**On the uniqueness of classical solutions of Cauchy problems**," Papers 0908.1086, arXiv.org, revised Sep 2009. - Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit, 2009.
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**On the Existence of Consistent Price Systems**," Papers 0911.3789, arXiv.org, revised Jun 2013. - Erhan Bayraktar & Song Yao, 2009.
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**Optimal Stopping for Non-linear Expectations**," Papers 0905.3601, arXiv.org, revised Jan 2011. - Erhan Bayraktar & Ioannis Karatzas & Song Yao, 2009.
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**Optimal Stopping for Dynamic Convex Risk Measures**," Papers 0909.4948, arXiv.org, revised Nov 2009. - Erhan Bayraktar & Virginia R. Young, 2008.
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**Minimizing the Probability of Ruin when Consumption is Ratcheted**," Papers 0806.2358, arXiv.org. - Erhan Bayraktar & Hasanjan Sayit, 2008.
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**No Arbitrage Conditions For Simple Trading Strategies**," Papers 0801.4047, arXiv.org, revised Jan 2009.- Erhan Bayraktar & Hasanjan Sayit, 2010.
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**No arbitrage conditions for simple trading strategies**," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.

- Erhan Bayraktar & Hasanjan Sayit, 2010.
"
- Erhan Bayraktar & Virginia R. Young, 2008.
"
**Optimal Investment Strategy to Minimize Occupation Time**," Papers 0805.3981, arXiv.org, revised Nov 2008.- Erhan Bayraktar & Virginia Young, 2010.
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**Optimal investment strategy to minimize occupation time**," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.

- Erhan Bayraktar & Virginia Young, 2010.
"
- Erhan Bayraktar & Hasanjan Sayit, 2008.
"
**On the Stickiness Property**," Papers 0801.0718, arXiv.org, revised Sep 2009.- Erhan Bayraktar & Hasanjan Sayit, 2010.
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**On the stickiness property**," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1109-1112.

- Erhan Bayraktar & Hasanjan Sayit, 2010.
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- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008.
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**Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities**," Papers 0802.3250, arXiv.org.- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
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**Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities**," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.

- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
"
- Erhan Bayraktar & Masahiko Egami, 2007.
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**The Effects of Implementation Delay on Decision-Making Under Uncertainty**," Papers math/0703833, arXiv.org.- Bayraktar, Erhan & Egami, Masahiko, 2007.
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**The effects of implementation delay on decision-making under uncertainty**," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 333-358, March.

- Bayraktar, Erhan & Egami, Masahiko, 2007.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin**," Papers 0705.0053, arXiv.org, revised Mar 2008.- Bayraktar, Erhan & Young, Virginia R., 2008.
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**Mutual fund theorems when minimizing the probability of lifetime ruin**," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.

- Bayraktar, Erhan & Young, Virginia R., 2008.
"
- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Minimizing the Probability of Lifetime Ruin under Borrowing Constraints**," Papers math/0703850, arXiv.org.- Bayraktar, Erhan & Young, Virginia R., 2007.
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**Minimizing the probability of lifetime ruin under borrowing constraints**," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.

- Bayraktar, Erhan & Young, Virginia R., 2007.
"
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
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**Queueing Theoretic Approaches to Financial Price Fluctuations**," Papers math/0703832, arXiv.org. - Erhan Bayraktar, 2007.
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**A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions**," Papers math/0703782, arXiv.org, revised Dec 2008. - Erhan Bayraktar, 2007.
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**On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps**," Papers math/0703538, arXiv.org, revised Jan 2009.- Erhan Bayraktar, 2009.
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**On the perpetual American put options for level dependent volatility models with jumps**," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.

- Erhan Bayraktar, 2009.
"
- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin**," Papers math/0703862, arXiv.org, revised Oct 2007. - Erhan Bayraktar & Virginia R. Young, 2007.
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**Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio**," Papers math/0701650, arXiv.org, revised Jul 2007.- Erhan Bayraktar & Virginia Young, 2008.
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**Pricing options in incomplete equity markets via the instantaneous Sharpe ratio**," Annals of Finance, Springer, vol. 4(4), pages 399-429, October.

- Erhan Bayraktar & Virginia Young, 2008.
"
- Erhan Bayraktar, 2007.
"
**Minimizing the Lifetime Shortfall or Shortfall at Death**," Papers math/0703824, arXiv.org.- Bayraktar, Erhan & Young, Virginia R., 2009.
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**Minimizing the lifetime shortfall or shortfall at death**," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.

- Bayraktar, Erhan & Young, Virginia R., 2009.
"
- Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007.
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**Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis**," Papers math/0703834, arXiv.org. - Erhan Bayraktar & Virginia R. Young, 2007.
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**Correspondence between Lifetime Minimum Wealth and Utility of Consumption**," Papers math/0703820, arXiv.org.- Erhan Bayraktar & Virginia Young, 2007.
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**Correspondence between lifetime minimum wealth and utility of consumption**," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.

- Erhan Bayraktar & Virginia Young, 2007.
"
- Erhan Bayraktar & Masahiko Egami, 2007.
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**Optimizing Venture Capital Investments in a Jump Diffusion Model**," Papers math/0703823, arXiv.org, revised Jul 2007.- Erhan Bayraktar & Masahiko Egami, 2008.
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**Optimizing venture capital investments in a jump diffusion model**," Mathematical Methods of Operations Research, Springer, vol. 67(1), pages 21-42, February.

- Erhan Bayraktar & Masahiko Egami, 2008.
"
- Erhan Bayraktar & Masahiko Egami, 2007.
"
**A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays**," Papers math/0703825, arXiv.org, revised Jan 2009.- Erhan Bayraktar & Masahiko Egami, 2010.
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**A unified treatment of dividend payment problems under fixed cost and implementation delays**," Mathematical Methods of Operations Research, Springer, vol. 71(2), pages 325-351, April.

- Erhan Bayraktar & Masahiko Egami, 2010.
"
- Erhan Bayraktar & H. Vincent Poor, 2007.
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**Optimal Time to Change Premiums**," Papers math/0703828, arXiv.org.- Erhan Bayraktar & H. Poor, 2008.
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**Optimal time to change premiums**," Mathematical Methods of Operations Research, Springer, vol. 68(1), pages 125-158, August.

- Erhan Bayraktar & H. Poor, 2008.
"
- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control**," Papers 0704.2244, arXiv.org, revised Aug 2010.- Erhan Bayraktar & Virginia Young, 2011.
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**Proving regularity of the minimal probability of ruin via a game of stopping and control**," Finance and Stochastics, Springer, vol. 15(4), pages 785-818, December.

- Erhan Bayraktar & Virginia Young, 2011.
"
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"
**A Limit Theorem for Financial Markets with Inert Investors**," Papers math/0703831, arXiv.org. - Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
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**Consistency Problems For Jump-Diffusion Models**," Finance 0304003, EconWPA.- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
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**Consistency Problems for Jump-diffusion Models**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 101-119.

- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
"
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003.
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**Projecting the Forward Rate Flow on a Finite Dimensional Manifold**," Finance 0303007, EconWPA.- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006.
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**Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 777-785.

- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006.
"

- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"
**Minimizing the expected lifetime spent in drawdown under proportional consumption**," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption**," Papers 1508.01914, arXiv.org, revised Aug 2015.

- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
- Bayraktar, Erhan & Yao, Song, 2015.
"
**Doubly reflected BSDEs with integrable parameters and related Dynkin games**," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.- Erhan Bayraktar & Song Yao, 2014.
"
**Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games**," Papers 1412.2053, arXiv.org, revised Jul 2015.

- Erhan Bayraktar & Song Yao, 2014.
"
- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
"
**Purchasing life insurance to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 204-216.- Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
**Purchasing Life Insurance to Reach a Bequest Goal**," Papers 1402.5300, arXiv.org, revised Jul 2014.

- Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
"
**A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty**," Risks, MDPI, Open Access Journal, vol. 2(4), pages 425-433, October.- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013.
"
**A note on the Fundamental Theorem of Asset Pricing under model uncertainty**," Papers 1309.2728, arXiv.org, revised Sep 2014.

- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013.
"
- Erhan Bayraktar & Michael Ludkovski, 2014.
"
**Liquidation In Limit Order Books With Controlled Intensity**," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.- Erhan Bayraktar & Michael Ludkovski, 2011.
"
**Liquidation in Limit Order Books with Controlled Intensity**," Papers 1105.0247, arXiv.org, revised Jan 2012.

- Erhan Bayraktar & Michael Ludkovski, 2011.
"
- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014.
"
**Optimal dividends in the dual model under transaction costs**," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143. - Liang, Zhibin & Bayraktar, Erhan, 2014.
"
**Optimal reinsurance and investment with unobservable claim size and intensity**," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 156-166. - Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
"
**On Optimal Dividends In The Dual Model**," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"
**On optimal dividends in the dual model**," Papers 1211.7365, arXiv.org, revised Jun 2013.

- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"
- Bayraktar, Erhan & Kravitz, Ross, 2013.
"
**Stability of exponential utility maximization with respect to market perturbations**," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1671-1690.- Erhan Bayraktar & Ross Kravitz, 2011.
"
**Stability of exponential utility maximization with respect to market perturbations**," Papers 1107.2716, arXiv.org, revised Dec 2012.

- Erhan Bayraktar & Ross Kravitz, 2011.
"
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012.
"
**Strict local martingale deflators and valuing American call-type options**," Finance and Stochastics, Springer, vol. 16(2), pages 275-291, April. - Bayraktar, Erhan & Yao, Song, 2012.
"
**Quadratic reflected BSDEs with unbounded obstacles**," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.- Erhan Bayraktar & Song Yao, 2010.
"
**Quadratic Reflected BSDEs with Unbounded Obstacles**," Papers 1005.3565, arXiv.org, revised Mar 2011.

- Erhan Bayraktar & Song Yao, 2010.
"
- Bayraktar, Erhan & Yao, Song, 2011.
"
**Optimal stopping for non-linear expectations--Part II**," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 212-264, February.- Bayraktar, Erhan & Yao, Song, 2011.
"
**Optimal stopping for non-linear expectations--Part I**," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 185-211, February.

- Bayraktar, Erhan & Yao, Song, 2011.
"
- Erhan Bayraktar & Virginia Young, 2011.
"
**Proving regularity of the minimal probability of ruin via a game of stopping and control**," Finance and Stochastics, Springer, vol. 15(4), pages 785-818, December.- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control**," Papers 0704.2244, arXiv.org, revised Aug 2010.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
"
**Minimizing the probability of lifetime ruin under stochastic volatility**," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.- Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010.
"
**Minimizing the Probability of Lifetime Ruin under Stochastic Volatility**," Papers 1003.4216, arXiv.org, revised May 2011.

- Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010.
"
- Erhan Bayraktar & Michael Ludkovski, 2010.
"
**Inventory management with partially observed nonstationary demand**," Annals of Operations Research, Springer, vol. 176(1), pages 7-39, April.- Erhan Bayraktar & Mike Ludkovski, 2012.
"
**Inventory Management with Partially Observed Nonstationary Demand**," Papers 1206.6283, arXiv.org.

- Erhan Bayraktar & Mike Ludkovski, 2012.
"
- Erhan Bayraktar & Virginia Young, 2010.
"
**Optimal investment strategy to minimize occupation time**," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.- Erhan Bayraktar & Virginia R. Young, 2008.
"
**Optimal Investment Strategy to Minimize Occupation Time**," Papers 0805.3981, arXiv.org, revised Nov 2008.

- Erhan Bayraktar & Virginia R. Young, 2008.
"
- Erhan Bayraktar & Hasanjan Sayit, 2010.
"
**On the stickiness property**," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1109-1112.- Erhan Bayraktar & Hasanjan Sayit, 2008.
"
**On the Stickiness Property**," Papers 0801.0718, arXiv.org, revised Sep 2009.

- Erhan Bayraktar & Hasanjan Sayit, 2008.
"
- Erhan Bayraktar & Masahiko Egami, 2010.
"
**A unified treatment of dividend payment problems under fixed cost and implementation delays**," Mathematical Methods of Operations Research, Springer, vol. 71(2), pages 325-351, April.- Erhan Bayraktar & Masahiko Egami, 2007.
"
**A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays**," Papers math/0703825, arXiv.org, revised Jan 2009.

- Erhan Bayraktar & Masahiko Egami, 2007.
"
- Erhan Bayraktar & Hasanjan Sayit, 2010.
"
**No arbitrage conditions for simple trading strategies**," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.- Erhan Bayraktar & Hasanjan Sayit, 2008.
"
**No Arbitrage Conditions For Simple Trading Strategies**," Papers 0801.4047, arXiv.org, revised Jan 2009.

- Erhan Bayraktar & Hasanjan Sayit, 2008.
"
- Bayraktar, Erhan & Ludkovski, Michael, 2009.
"
**Sequential tracking of a hidden Markov chain using point process observations**," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1792-1822, June. - Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
"
**Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities**," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008.
"
**Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities**," Papers 0802.3250, arXiv.org.

- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008.
"
- Erhan Bayraktar & Bo Yang, 2009.
"
**Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(5), pages 429-449. - Bayraktar, Erhan & Young, Virginia R., 2009.
"
**Minimizing the lifetime shortfall or shortfall at death**," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.- Erhan Bayraktar, 2007.
"
**Minimizing the Lifetime Shortfall or Shortfall at Death**," Papers math/0703824, arXiv.org.

- Erhan Bayraktar, 2007.
"
- Erhan Bayraktar & Hao Xing, 2009.
"
**Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions**," Mathematical Methods of Operations Research, Springer, vol. 70(3), pages 505-525, December. - Erhan Bayraktar, 2009.
"
**On the perpetual American put options for level dependent volatility models with jumps**," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.- Erhan Bayraktar, 2007.
"
**On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps**," Papers math/0703538, arXiv.org, revised Jan 2009.

- Erhan Bayraktar, 2007.
"
- E. Bayraktar, 2008.
"
**Pricing Options on Defaultable Stocks**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 277-304. - Bayraktar, Erhan & Young, Virginia R., 2008.
"
**Mutual fund theorems when minimizing the probability of lifetime ruin**," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin**," Papers 0705.0053, arXiv.org, revised Mar 2008.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Erhan Bayraktar & Virginia Young, 2008.
"
**Pricing options in incomplete equity markets via the instantaneous Sharpe ratio**," Annals of Finance, Springer, vol. 4(4), pages 399-429, October.- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio**," Papers math/0701650, arXiv.org, revised Jul 2007.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Bayraktar, Erhan & Young, Virginia R., 2008.
"
**Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin**," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.- Erhan Bayraktar & Virginia R. Young, 2012.
"
**Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin**," Papers 1206.6268, arXiv.org.

- Erhan Bayraktar & Virginia R. Young, 2012.
"
- Erhan Bayraktar & Masahiko Egami, 2008.
"
**Optimizing venture capital investments in a jump diffusion model**," Mathematical Methods of Operations Research, Springer, vol. 67(1), pages 21-42, February.- Erhan Bayraktar & Masahiko Egami, 2007.
"
**Optimizing Venture Capital Investments in a Jump Diffusion Model**," Papers math/0703823, arXiv.org, revised Jul 2007.

- Erhan Bayraktar & Masahiko Egami, 2007.
"
- Erhan Bayraktar & H. Poor, 2008.
"
**Optimal time to change premiums**," Mathematical Methods of Operations Research, Springer, vol. 68(1), pages 125-158, August.- Erhan Bayraktar & H. Vincent Poor, 2007.
"
**Optimal Time to Change Premiums**," Papers math/0703828, arXiv.org.

- Erhan Bayraktar & H. Vincent Poor, 2007.
"
- Bayraktar, Erhan & Young, Virginia R., 2007.
"
**Minimizing the probability of lifetime ruin under borrowing constraints**," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Minimizing the Probability of Lifetime Ruin under Borrowing Constraints**," Papers math/0703850, arXiv.org.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Erhan Bayraktar & Virginia Young, 2007.
"
**Correspondence between lifetime minimum wealth and utility of consumption**," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.- Erhan Bayraktar & Virginia R. Young, 2007.
"
**Correspondence between Lifetime Minimum Wealth and Utility of Consumption**," Papers math/0703820, arXiv.org.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Bayraktar, Erhan & Egami, Masahiko, 2007.
"
**The effects of implementation delay on decision-making under uncertainty**," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 333-358, March.- Erhan Bayraktar & Masahiko Egami, 2007.
"
**The Effects of Implementation Delay on Decision-Making Under Uncertainty**," Papers math/0703833, arXiv.org.

- Erhan Bayraktar & Masahiko Egami, 2007.
"
- Bayraktar, Erhan & Young, Virginia R., 2007.
"
**Hedging life insurance with pure endowments**," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 435-444, May. - Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006.
"
**Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 777-785.- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003.
"
**Projecting the Forward Rate Flow on a Finite Dimensional Manifold**," Finance 0303007, EconWPA.

- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003.
"
- Bayraktar, Erhan & Dayanik, Savas & Karatzas, Ioannis, 2005.
"
**The standard Poisson disorder problem revisited**," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1437-1450, September. - Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
"
**Consistency Problems for Jump-diffusion Models**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 101-119.- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
"
**Consistency Problems For Jump-Diffusion Models**," Finance 0304003, EconWPA.

- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
"
- Erhan Bayraktar & H. Vincent Poor, 2005.
"
**Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.

54 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-AGE: Economics of Ageing (1) 2015-03-13
- NEP-CMP: Computational Economics (2) 2011-10-09 2012-07-08
- NEP-ECM: Econometrics (2) 2003-04-12 2013-08-16
- NEP-FDG: Financial Development & Growth (1) 2009-09-26
- NEP-FMK: Financial Markets (1) 2003-04-09
- NEP-GER: German Papers (1) 2015-08-30
- NEP-GTH: Game Theory (5) 2010-09-18 2014-08-25 2014-09-05 2014-10-22 2016-04-09. Author is listed
- NEP-HPE: History & Philosophy of Economics (2) 2014-10-22 2015-07-04
- NEP-IAS: Insurance Economics (4) 2012-06-05 2012-10-27 2014-03-01 2015-01-03
- NEP-MFD: Microfinance (1) 2015-03-05
- NEP-MIC: Microeconomics (2) 2012-07-08 2013-01-12
- NEP-MST: Market Microstructure (1) 2015-02-28
- NEP-ORE: Operations Research (3) 2010-05-02 2010-08-28 2014-09-05
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
- NEP-RMG: Risk Management (6) 2003-04-09 2012-07-08 2013-07-15 2014-08-25 2015-03-13 2015-06-05. Author is listed
- NEP-SOG: Sociology of Economics (2) 2014-02-15 2014-02-15
- NEP-SPO: Sports & Economics (1) 2013-08-16
- NEP-UPT: Utility Models & Prospect Theory (10) 2010-10-30 2011-07-27 2012-06-05 2012-07-08 2013-07-20 2013-12-20 2014-02-15 2015-02-28 2015-03-05 2015-04-11. Author is listed

This author is among the top 5% authors according to these criteria:

- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Number of Authors
- Number of Journal Pages
- Number of Journal Pages, Weighted by Number of Authors

#### Most cited item

- Erhan Bayraktar & Michael Ludkovski, 2011.
"
**Liquidation in Limit Order Books with Controlled Intensity**," Papers 1105.0247, arXiv.org, revised Jan 2012.

#### Most downloaded item (past 12 months)

- Erhan Bayraktar & Song Yao, 2015.
"
**On the Robust Dynkin Game**," Papers 1506.09184, arXiv.org, revised Jul 2015.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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