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Optimal stopping with expectation constraints
Erhan Bayraktar, Song Yao
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 34, Nº. 1, 2, 2024, págs. 917-959
McKean–Vlasov equations involving hitting times: Blow-ups and global solvability
Erhan Bayraktar, Gaoyue Guo, Wenpin Tang, Yuming Paul Zhang
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 34, Nº. 1, 2, 2024, págs. 1600-1622
Erhan Bayraktar, Suman Chakraborty, Ruoyu Wu
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 33, Nº. 5, 2023, págs. 3587-3619
A potential-based construction of the increasing supermartingale coupling
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 33, Nº. 5, 2023, págs. 3803-3834
On the asymptotic optimality of the comb strategy for prediction with expert advice
Erhan Bayraktar, Ibrahim Ekren, Lili Zhang
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 30, Nº. 6, 2020, págs. 2517-2546
Erhan Bayraktar, Jaksa Cvitanic, Yuchong Zhang
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 29, Nº. 6, 2019, págs. 3695-3744
Controlled reflected SDEs and Neumann problem for backward SPDEs
Erhan Bayraktar, Jinniao Qiu
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 29, Nº. 5, 2019, págs. 2819-2848
Rate control under heavy traffic with strategic servers
Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 29, Nº. 1, 2019, págs. 1-35
Erhan Bayraktar, Song Yao
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 27, Nº. 3, 2017, págs. 1702-1755
Erhan Bayraktar, Zhou Zhou
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 26, Nº. 6, 2016, págs. 3531-3558
Stochastic Perron for stochastic target games.
Erhan Bayraktar, Jiaqi Li
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 26, Nº. 2, 2016, págs. 1082-1110
Weak reflection principle for Lévy processes.
Erhan Bayraktar, Sergey Nadtochiy
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 25, Nº. 6, 2015, págs. 3251-3294
Stochastic Perron�s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Erhan Bayraktar, Mihai Sîrbu
Proceedings of the American Mathematical Society, ISSN 0002-9939, Vol. 142, Nº 4, 2014, págs. 1399-1412
Robust maximization of asymptotic growth under covariance uncertainty
Erhan Bayraktar, Yu-Jui Huang
Quality control and applied statistics, ISSN 0033-5207, Vol. 59, Nº. 1-2, 2014, págs. 123-124
Robust maximization of asymptotic growth under covariance uncertainty.
Erhan Bayraktar, Yu-Jui Huang
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 23, Nº. 5, 2013, págs. 1817-1840
Outperforming the market portfolio with a given probability.
Erhan Bayraktar, Yu-Hui Huang, Qingshuo Song
Annals of applied probability: an official journal of the Institute of Mathematical Statistics, ISSN 1050-5164, Vol. 22, Nº. 4, 2012, págs. 1465-1494
Stochastic Perron's method and verification without smoothness using viscosity comparison: The linear case
Erhan Bayraktar, Mihai Sîrbu
Proceedings of the American Mathematical Society, ISSN 0002-9939, Vol. 140, Nº 10, 2012, págs. 3645-3654
On the uniqueness of classical solutions of Cauchy problems
Erhan Bayraktar, Hao Xing
Proceedings of the American Mathematical Society, ISSN 0002-9939, Vol. 138, Nº 6, 2010, págs. 2061-2064
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