2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.PR2020
Disorder Detection with Costly Observations
Erhan Bayraktar, Erik Ekstrom, Jia Guo
We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observat…
q-fin.MF2018★ 2 cited
Continuity of Utility Maximization under Weak Convergence
Erhan Bayraktar, Yan Dolinsky, Jia Guo
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distri…