64 citations · 410 across the 142 of their papers we have counts for
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A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
Erhan Bayraktar, Arash Fahim
We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the…
Robust maximization of asymptotic growth under covariance uncertainty
Erhan Bayraktar, Yu-Jui Huang
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise k…
Stability of exponential utility maximization with respect to market perturbations
Erhan Bayraktar, Ross Kravitz
We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose we…
Liquidation in Limit Order Books with Controlled Intensity
Erhan Bayraktar, Michael Ludkovski
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the l…
Stochatic Perron's method and verification without smoothness using viscosity comparison: the linear case
Erhan Bayraktar, Mihai Sirbu
We introduce a probabilistic version of the classical Perron's method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations…