5 citations · 8 across the 4 of their papers we have counts for
4 papers
Prediction against a limited adversary
Erhan Bayraktar, Ibrahim Ekren, Xin Zhang
We study the problem of prediction with expert advice with adversarial corruption where the adversary can at most corrupt one expert. Using tools from viscosity theory, we characte…
Equilibrium concepts for time-inconsistent stopping problems in continuous time
Erhan Bayraktar, Jingjie Zhang, Zhou Zhou
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing noti…
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
Erhan Bayraktar, Virginia R. Young
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the i…
Correspondence between Lifetime Minimum Wealth and Utility of Consumption
Erhan Bayraktar, Virginia R. Young
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strat…