4 citations · 4 across the 4 of their papers we have counts for
4 papers
On the One-Dimensional Optimal Switching Problem
Erhan Bayraktar, Masahiko Egami
We explicitly solve the optimal switching problem for one-dimensional diffusions by directly employing the dynamic programming principle and the excessive characterization of the v…
The Effects of Implementation Delay on Decision-Making Under Uncertainty
Erhan Bayraktar, Masahiko Egami
In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and…
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
Erhan Bayraktar, Masahiko Egami
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation de…
Optimizing Venture Capital Investments in a Jump Diffusion Model
Erhan Bayraktar, Masahiko Egami
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the ini…