Erhan Bayraktar

120 papers Journal 116Unranked 4

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	Entropy-Based Dimension-Free Convergence and Loss-Adaptive Schedules for Diffusion Models. CoRR Ahmad Aghapour, Erhan Bayraktar, Ziqing Zhang
2026	J	`jnl`	The McCormick Martingale Optimal Transport. SIAM J. Financial Math. Erhan Bayraktar, Bingyan Han, Dominykas Norgilas
2025	J	`jnl`	Binomial-Tree Approximation for Time-Inconsistent Stopping. SIAM J. Financial Math. Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
2025	J	`jnl`	Convergence Rate of Particle System for Second-Order PDEs on Wasserstein Space. SIAM J. Control. Optim. Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2025	J	`jnl`	Deep Neural Operator Learning for Probabilistic Models. CoRR Erhan Bayraktar, Qi Feng, Zecheng Zhang, Zhaoyu Zhang
2025	J	`jnl`	Learning with Linear Function Approximations in Mean-Field Control. J. Mach. Learn. Res. Erhan Bayraktar, Ali Devran Kara
2025	J	`jnl`	Near Optimal Approximations and Finite Memory Policies for POMPDs with Continuous Spaces. J. Syst. Sci. Complex. Ali Devran Kara, Erhan Bayraktar, Serdar Yüksel
2025	J	`jnl`	Relaxed Equilibria for Time-Inconsistent Markov Decision Processes. Math. Oper. Res. Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang, Zhou Zhou
2025	J	`jnl`	The J. Appl. Probab. Erhan Bayraktar, Suman Chakraborty, Xin Zhang
2025	J	`jnl`	The Learning Approach to Games. CoRR Melih Iseri, Erhan Bayraktar
2025	J	`jnl`	Uniform-in-time weak propagation of chaos for consensus-based optimization. CoRR Erhan Bayraktar, Ibrahim Ekren, Hongyi Zhou
2024	J	`jnl`	Approximation Schemes for POMPDs with Continuous Spaces and Their Near Optimality. CoRR Ali Devran Kara, Erhan Bayraktar, Serdar Yüksel
2024	J	`jnl`	Deep Signature Algorithm for Multidimensional Path-Dependent Options. SIAM J. Financial Math. Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
2024	J	`jnl`	Exponential Entropy Dissipation for Weakly Self-Consistent Vlasov-Fokker-Planck Equations. J. Nonlinear Sci. Erhan Bayraktar, Qi Feng, Wuchen Li
2024	J	`jnl`	Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control. SIAM J. Control. Optim. Erhan Bayraktar, Ali Devran Kara
2024	J	`jnl`	Learning with Linear Function Approximations in Mean-Field Control. CoRR Erhan Bayraktar, Ali Devran Kara
2023	J	`jnl`	A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. SIAM J. Financial Math. Erhan Bayraktar, Asaf Cohen, April Nellis
2023	J	`jnl`	A PDE approach for regret bounds under partial monitoring. J. Mach. Learn. Res. Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2023	J	`jnl`	Approximate Q Learning for Controlled Diffusion Processes and Its Near Optimality. SIAM J. Math. Data Sci. Erhan Bayraktar, Ali Devran Kara
2023	J	`jnl`	Fitted Value Iteration Methods for Bicausal Optimal Transport. CoRR Erhan Bayraktar, Bingyan Han
2023	J	`jnl`	Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control. CoRR Erhan Bayraktar, Ali Devran Kara
2023	J	`jnl`	Nonparametric Adaptive Robust Control under Model Uncertainty. SIAM J. Control. Optim. Erhan Bayraktar, Tao Chen
2023	J	`jnl`	On Time-Inconsistency in Mean Field Games. CoRR Erhan Bayraktar, Zhenhua Wang
2023	J	`jnl`	Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case. SIAM J. Financial Math. Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
2023	J	`jnl`	Short Communication: Existence of Markov Equilibrium Control in Discrete Time. SIAM J. Financial Math. Erhan Bayraktar, Bingyan Han
2023	J	`jnl`	Stability of Equilibria in Time-Inconsistent Stopping Problems. SIAM J. Control. Optim. Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
2022	J	`jnl`	$K_{r, s}$ Graph Bootstrap Percolation. Electron. J. Comb. Erhan Bayraktar, Suman Chakraborty
2022	J	`jnl`	A PDE approach for regret bounds under partial monitoring. CoRR Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2022	J	`jnl`	Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit. SIAM J. Control. Optim. Erhan Bayraktar, Christoph Belak, Sören Christensen, Frank Thomas Seifried
2022	J	`jnl`	Deep Signature Algorithm for Path-Dependent American option pricing. CoRR Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
2022	J	`jnl`	Disorder detection with costly observations. J. Appl. Probab. Erhan Bayraktar, Erik Ekström, Jia Guo
2022	J	`jnl`	Finite State Mean Field Games with Wright-Fisher Common Noise as Limits of Math. Oper. Res. Erhan Bayraktar, Alekos Cecchin, Asaf Cohen, François Delarue
2022	—	`conf`	Near Optimality of Finite Memory Policies for POMPDs with Continuous Spaces. CDC Ali Devran Kara, Erhan Bayraktar, Serdar Yüksel
2022	J	`jnl`	Optimal Investment and Consumption under a Habit-Formation Constraint. SIAM J. Financial Math. Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
2022	J	`jnl`	Path-Dependent Hamilton-Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method. SIAM J. Control. Optim. Erhan Bayraktar, Christian Keller
2022	J	`jnl`	Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions. SIAM J. Financial Math. Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
2021	J	`jnl`	A Central Limit Theorem for Diffusion in Sparse Random Graphs. CoRR Hamed Amini, Erhan Bayraktar, Suman Chakraborty
2021	J	`jnl`	Malicious Experts Versus the Multiplicative Weights Algorithm in Online Prediction. IEEE Trans. Inf. Theory Erhan Bayraktar, H. Vincent Poor, Xin Zhang
2021	J	`jnl`	Prediction against a limited adversary. J. Mach. Learn. Res. Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2021	J	`jnl`	Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky
2021	J	`jnl`	Terminal Ranking Games. Math. Oper. Res. Erhan Bayraktar, Yuchong Zhang
2020	J	`jnl`	Malicious Experts versus the multiplicative weights algorithm in online prediction. CoRR Erhan Bayraktar, H. Vincent Poor, Xin Zhang
2020	J	`jnl`	On the Adversarial Robustness of Robust Estimators. IEEE Trans. Inf. Theory Lifeng Lai, Erhan Bayraktar
2020	J	`jnl`	Prediction against limited adversary. CoRR Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2019	J	`jnl`	Finite-Time 4-Expert Prediction Problem. CoRR Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
2019	J	`jnl`	High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors. SIAM J. Matrix Anal. Appl. Parsiad Azimzadeh, Erhan Bayraktar
2019	J	`jnl`	No-Arbitrage and Hedging with Liquid American Options. Math. Oper. Res. Erhan Bayraktar, Zhou Zhou
2019	J	`jnl`	On the Adversarial Robustness of Multivariate Robust Estimation. CoRR Erhan Bayraktar, Lifeng Lai
2019	J	`jnl`	On the asymptotic optimality of the comb strategy for prediction with expert advice. CoRR Erhan Bayraktar, Ibrahim Ekren, Yili Zhang
2019	J	`jnl`	Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates. SIAM J. Financial Math. Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
2019	J	`jnl`	Time Consistent Stopping for the Mean-Standard Deviation Problem - The Discrete Time Case. SIAM J. Financial Math. Erhan Bayraktar, Jingjie Zhang, Zhou Zhou
2018	J	`jnl`	A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method. SIAM J. Control. Optim. Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen
2018	J	`jnl`	Analysis of a Finite State Many Player Game Using Its Master Equation. SIAM J. Control. Optim. Erhan Bayraktar, Asaf Cohen
2018	J	`jnl`	Convergence of Implicit Schemes for Hamilton-Jacobi-Bellman Quasi-Variational Inequalities. SIAM J. Control. Optim. Parsiad Azimzadeh, Erhan Bayraktar, George Labahn
2018	J	`jnl`	Efficient Byzantine Sequential Change Detection. IEEE Trans. Inf. Theory Georgios Fellouris, Erhan Bayraktar, Lifeng Lai
2018	J	`jnl`	Martingale Optimal Transport with Stopping. SIAM J. Control. Optim. Erhan Bayraktar, Alexander M. G. Cox, Yavor Stoev
2018	J	`jnl`	Quantile Hedging in a semi-static market with model uncertainty. Math. Methods Oper. Res. Erhan Bayraktar, Gu Wang
2018	J	`jnl`	Recombining Tree Approximations for Optimal Stopping for Diffusions. SIAM J. Financial Math. Erhan Bayraktar, Yan Dolinsky, Jia Guo
2018	J	`jnl`	Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators. SIAM J. Control. Optim. Erhan Bayraktar, Qingshuo Song
2017	J	`jnl`	Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities. SIAM J. Control. Optim. Erhan Bayraktar, Andrea Cosso, Huyên Pham
2017	J	`jnl`	Multi-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters. CoRR Jun Geng, Erhan Bayraktar, Lifeng Lai
2016	J	`jnl`	Efficient Byzantine Sequential Change Detection. CoRR Erhan Bayraktar, Georgios Fellouris, Lifeng Lai
2016	J	`jnl`	Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty. Math. Oper. Res. Erhan Bayraktar, Yuchong Zhang
2016	J	`jnl`	Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming. SIAM J. Financial Math. Erhan Bayraktar, S. David Promislow, Virginia R. Young
2016	J	`jnl`	Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions. SIAM J. Control. Optim. Erhan Bayraktar, Andrea Cosso, Huyên Pham
2016	J	`jnl`	Stochastic Perron for Stochastic Target Problems. J. Optim. Theory Appl. Erhan Bayraktar, Jiaqi Li
2015	J	`jnl`	Byzantine Fault Tolerant Distributed Quickest Change Detection. SIAM J. Control. Optim. Erhan Bayraktar, Lifeng Lai
2015	J	`jnl`	Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion. SIAM J. Control. Optim. Erhan Bayraktar, Yuchong Zhang
2015	J	`jnl`	On Hedging American Options under Model Uncertainty. SIAM J. Financial Math. Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou
2015	J	`jnl`	Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs. SIAM J. Control. Optim. Erhan Bayraktar, Yuchong Zhang
2014	J	`jnl`	Bayesian Quickest Change-Point Detection With Sampling Right Constraints. IEEE Trans. Inf. Theory Jun Geng, Erhan Bayraktar, Lifeng Lai
2014	J	`jnl`	On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options. SIAM J. Financial Math. Erhan Bayraktar, Zhou Zhou
2014	J	`jnl`	On the Robust Optimal Stopping Problem. SIAM J. Control. Optim. Erhan Bayraktar, Song Yao
2013	J	`jnl`	A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls. SIAM J. Control. Optim. Erhan Bayraktar, Song Yao
2013	J	`jnl`	Bayesian Quickest Change Point Detection with Sampling Right Constraints. CoRR Jun Geng, Erhan Bayraktar, Lifeng Lai
2013	J	`jnl`	Byzantine Fault Tolerant Distributed Quickest Change Detection. CoRR Erhan Bayraktar, Lifeng Lai
2013	J	`jnl`	On the Impulse Control of Jump Diffusions. SIAM J. Control. Optim. Erhan Bayraktar, Thomas Emmerling, José-Luis Menaldi
2013	J	`jnl`	On the Multidimensional Controller-and-Stopper Games. SIAM J. Control. Optim. Erhan Bayraktar, Yu-Jui Huang
2013	J	`jnl`	Robust Optimal Stopping under Volatility Uncertainty CoRR Erhan Bayraktar, Song Yao
2013	J	`jnl`	Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations. SIAM J. Control. Optim. Erhan Bayraktar, Mihai Sîrbu
2012	J	`jnl`	Quickest Detection with Discretely Controlled Observations CoRR Erhan Bayraktar, Ross Kravitz
2012	J	`jnl`	Quickest Search over Brownian Channels CoRR Erhan Bayraktar, Ross Kravitz
2012	—	`conf`	Quickest change point detection with sampling right constraints. Allerton Conference Jun Geng, Lifeng Lai, Erhan Bayraktar
2012	J	`jnl`	Regularity of the Optimal Stopping Problem for Jump Diffusions. SIAM J. Control. Optim. Erhan Bayraktar, Hao Xing
2012	J	`jnl`	Stochastic Perron's method for Hamilton-Jacobi-Bellman equations CoRR Erhan Bayraktar, Mihai Sîrbu
2012	J	`jnl`	Strict local martingale deflators and valuing American call-type options. Finance Stochastics Erhan Bayraktar, Constantinos Kardaras, Hao Xing
2012	J	`jnl`	Valuation Equations for Stochastic Volatility Models. SIAM J. Financial Math. Erhan Bayraktar, Constantinos Kardaras, Hao Xing
2011	J	`jnl`	A Stochastic Approximation for Fully Nonlinear Free Boundary Problems CoRR Erhan Bayraktar, Arash Fahim
2011	J	`jnl`	Liquidation in Limit Order Books with Controlled Intensity CoRR Erhan Bayraktar, Michael Ludkovski
2011	J	`jnl`	Probabilistic Perron's method and verification without smoothness using viscosity comparison: the linear case CoRR Erhan Bayraktar, Mihai Sîrbu
2011	J	`jnl`	Proving regularity of the minimal probability of ruin via a game of stopping and control. Finance Stochastics Erhan Bayraktar, Virginia R. Young
2010	J	`jnl`	A unified treatment of dividend payment problems under fixed cost and implementation delays. Math. Methods Oper. Res. Erhan Bayraktar, Masahiko Egami
2010	J	`jnl`	Inventory management with partially observed nonstationary demand. Ann. Oper. Res. Erhan Bayraktar, Michael Ludkovski
2010	J	`jnl`	On the Multi-Dimensional Controller and Stopper Games. CoRR Erhan Bayraktar, Yu-Jui Huang
2010	J	`jnl`	On the One-Dimensional Optimal Switching Problem. Math. Oper. Res. Erhan Bayraktar, Masahiko Egami
2010	J	`jnl`	Optimal investment strategy to minimize occupation time. Ann. Oper. Res. Erhan Bayraktar, Virginia R. Young
2009	J	`jnl`	A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions. SIAM J. Control. Optim. Erhan Bayraktar
2009	J	`jnl`	Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions. SIAM J. Math. Anal. Erhan Bayraktar, Hao Xing
2009	J	`jnl`	Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions. Math. Methods Oper. Res. Erhan Bayraktar, Hao Xing
2008	J	`jnl`	An Analysis of Monotone Follower Problems for Diffusion Processes. Math. Oper. Res. Erhan Bayraktar, Masahiko Egami
2008	J	`jnl`	Optimal time to change premiums. Math. Methods Oper. Res. Erhan Bayraktar, H. Vincent Poor
2008	J	`jnl`	Optimizing venture capital investments in a jump diffusion model. Math. Methods Oper. Res. Erhan Bayraktar, Masahiko Egami
2007	J	`jnl`	A Note on Pricing Options on Defaultable Stocks CoRR Erhan Bayraktar
2007	J	`jnl`	A Unified Framework for Pricing Credit and Equity Derivatives CoRR Erhan Bayraktar, Bo Yang
2007	J	`jnl`	An Efficient Method for Pricing American Options for Jump Diffusions CoRR Erhan Bayraktar, Hao Xing
2007	J	`jnl`	Correspondence between lifetime minimum wealth and utility of consumption. Finance Stochastics Erhan Bayraktar, Virginia R. Young
2007	J	`jnl`	Pricing Asian Options for Jump Diffusions CoRR Erhan Bayraktar, Hao Xing
2007	J	`jnl`	Quickest Detection of a Minimum of Two Poisson Disorder Times. SIAM J. Control. Optim. Erhan Bayraktar, H. Vincent Poor
2006	J	`jnl`	A Limit Theorem for Financial Markets with Inert Investors. Math. Oper. Res. Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
2006	J	`jnl`	Adaptive Poisson disorder problem CoRR Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
2006	J	`jnl`	Poisson Disorder Problem with Exponential Penalty for Delay. Math. Oper. Res. Erhan Bayraktar, Savas Dayanik
2005	J	`jnl`	Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic CoRR Erhan Bayraktar, H. Vincent Poor
2005	J	`jnl`	Consistency Problems for Jump-Diffusion Models CoRR Erhan Bayraktar, Li Chen, H. Vincent Poor
2005	J	`jnl`	Prediction and tracking of long-range-dependent sequences. Syst. Control. Lett. Erhan Bayraktar, H. Vincent Poor, Raghuveer M. Rao
2005	J	`jnl`	Projecting the Forward Rate Flow onto a Finite Dimensional Manifold CoRR Erhan Bayraktar, Li Chen, H. Vincent Poor
2005	—	`conf`	Quickest Detection of a Minimum of Disorder Times. CDC/ECC Erhan Bayraktar, H. Vincent Poor
2005	J	`jnl`	Quickest detection of a minimum of disorder times CoRR Erhan Bayraktar, H. Vincent Poor
2005	J	`jnl`	Stochastic Differential Games in a Non-Markovian Setting CoRR Erhan Bayraktar, H. Vincent Poor
2005	J	`jnl`	Stochastic Differential Games in a Non-Markovian Setting. SIAM J. Control. Optim. Erhan Bayraktar, H. Vincent Poor
2003	—	`conf`	Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. CIFEr Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar