A. Sezer

activity

20022023

most citedDynamic importance sampling for queueing networks

77 citations · 84 across the 14 of their papers we have counts for

collaborators

16 papers

math.PR2023★ 1 cited

Optimal Liquidation with Conditions on Minimum Price

Mervan Aksu, Alexandre Popier, Ali Devin Sezer

The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position…

math.PR2021

Hitting probabilities of constrained random walks representing tandem networks

Ali Devin Sezer

Let $X$ be the constrained random walk on $Z_{+}^{d}$ $d > 2$ , having increments $e_{1}$ , $- e_{i} + e_{i + 1}$ $i = 1, 2, 3, ..., d - 1$ and $- e_{d}$ with probabilities $λ$ , $μ_{1}$ , $μ_{2}$ ,...,$μ_…

math.AP2020

Continuity problem for singular BSDE with random terminal time

Alexandre Popier, Sharoy Samuel, Ali Sezer

We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopping time of F. The term…

math.PR2019

Backward Stochastic Differential Equations with Non-Markovian Singular Terminal Conditions with General Driver and Filtration

Mahdi Ahmadi, Alexandre Popier, Ali Devin Sezer

We consider a class of Backward Stochastic Differential Equations with superlinear driver process $f$ adapted to a filtration supporting at least a $d$ dimensional Brownian motion…

math.PR2019

Approximation of the Exit Probability of a Stable Markov Modulated Constrained Random Walk

Fatma Başoğlu Kabran, Ali Devin Sezer

Let $X$ be the constrained random walk on $Z_{+}^{2}$ having increments $(1, 0)$ , $(- 1, 1)$ , $(0, - 1)$ with jump probabilities $λ (M_{k})$ , $μ_{1} (M_{k})$ , and $μ_{2} (M_{k})$ where $M$ is…

math.PR2018

Excessive Backlog Probabilities of Two Parallel Queues

Kamil Demirberk Ünlü, Ali Devin Sezer

Let $X$ be the constrained random walk on $Z_{+}^{2}$ with increments $(1, 0)$ , $(- 1, 0)$ , $(0, 1)$ and $(0, - 1)$ ; $X$ represents, at arrivals and service completions, the length…