64 citations · 410 across the 142 of their papers we have counts for
Showing 2020 · math.OCShow all
3 papers · 2 filters
math.OC2020★ 1 cited
Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual's consumption-to-habit process assuming she only invests…
math.OC2020★ 1 cited
Optimal Stopping with Expectation Constraints
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal sto…
math.OC2020
Malicious Experts versus the multiplicative weights algorithm in online prediction
Erhan Bayraktar, H. Vincent Poor, Xin Zhang
We consider a prediction problem with two experts and a forecaster. We assume that one of the experts is honest and makes correct prediction with probability at each round. The…