64 citations · 410 across the 142 of their papers we have counts for
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math.OC2012
Inventory Management with Partially Observed Nonstationary Demand
Erhan Bayraktar, Mike Ludkovski
We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the world is u…
math.OC2012
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games
Erhan Bayraktar, Mihai Sirbu
We adapt the Stochastic Perron's method in Bayraktar and Sirbu (ArXiv: 1103.0538) to the case of double obstacle problems associated to Dynkin games. We construct, symmetrically, a…
math.OC2012★ 7 cited
On Zero-Sum Stochastic Differential Games
Erhan Bayraktar, Song Yao
We generalize the results of Fleming and Souganidis (1989) on zero sum stochastic differential games to the case when the controls are unbounded. We do this by proving a dynamic pr…