64 citations · 410 across the 142 of their papers we have counts for
13 papers · 2 filters
Sequential Tracking of a Hidden Markov Chain Using Point Process Observations
Erhan Bayraktar, Mike Ludkovski
We study finite horizon optimal switching problems for hidden Markov chain models under partially observable Poisson processes. The controller possesses a finite range of strategie…
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…
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
Erhan Bayraktar, Virginia R. Young
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, a…
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…
Optimal Time to Change Premiums
Erhan Bayraktar, H. Vincent Poor
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a know…
Minimizing the Lifetime Shortfall or Shortfall at Death
Erhan Bayraktar
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it befo…
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let th…
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…
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
Erhan Bayraktar
We give a new proof of the fact that the value function of the finite time horizon American put option for a jump diffusion, when the jumps are from a compound Poisson process, is…
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
Erhan Bayraktar
We prove that the perpetual American put option price of level dependent volatility model with compound Poisson jumps is convex and is the classical solution of its associated quas…
An Analysis of Monotone Follower Problems for Diffusion Processes
Erhan Bayraktar, Masahiko Egami
We consider a singular stochastic control problem, which is called the Monotone Follower Stochastic Control Problem and give sufficient conditions for the existence and uniqueness…
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
Erhan Bayraktar, Virginia R. Young
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative sec…