64 citations · 410 across the 142 of their papers we have counts for
4 papers · 2 filters
On the controller-stopper problems with controlled jumps
Erhan Bayraktar, Jiaqi Li
We analyze the continuous time zero-sum and cooperative controller-stopper games of Karatzas and Sudderth [Annals of Probability, 2001], Karatzas and Zamfirescu [Annals of Probabil…
Stochastic Perron for Stochastic Target Problems
Erhan Bayraktar, Jiaqi Li
In this paper, we adapt stochastic Perron's method to analyze a stochastic target problem with unbounded controls in a jump diffusion set-up. With this method, we construct a visco…
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
Erhan Bayraktar, Alexander Munk
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at t…
Distribution-Constrained Optimal Stopping
Erhan Bayraktar, Christopher W. Miller
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms.…