64 citations · 410 across the 142 of their papers we have counts for
8 papers · 2 filters
On controller-stopper problems with jumps and their applications to indifference pricing of American options
Erhan Bayraktar, Zhou Zhou
We consider controller-stopper problems in which the controlled processes can have jumps. The global filtration is represented by the Brownian filtration, enlarged by the filtratio…
Quickest Detection with Discretely Controlled Observations
Erhan Bayraktar, Ross Kravitz
We study a continuous time Bayesian quickest detection problem in which observation times are a scarce resource. The agent, limited to making a finite number of discrete observatio…
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations
Erhan Bayraktar, Mihai Sirbu
We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of th…
On optimal dividends in the dual model
Erhan Bayraktar, Andreas Kyprianou, Kazutoshi Yamazaki
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short…
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
Nicole Bauerle, Erhan Bayraktar
We consider a controlled diffusion process where the controller is allowed to choose the drift and the volatility from a set $\K(x) \subset \R\times (0…
A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls
Erhan Bayraktar, Song Yao
We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic…