108 citations · 345 across the 44 of their papers we have counts for
8 papers · 1 filter
Stability of Time-inconsistent Stopping for One-dimensional Diffusion -- A Longer Version
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discountin…
Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria, weak equilibria and strong equilibria. The dis…
On a Stopping Game in continuous time
Erhan Bayraktar, Zhou Zhou
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin g…
On Zero-sum Optimal Stopping Games
Erhan Bayraktar, Zhou Zhou
On a filtered probability space , we consider stopper-stopper games $\overline V:=\inf_{\Rho\in\bT^{ii}}\sup_{τ\in\T}\E…
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
Erhan Bayraktar, Zhou Zhou
We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first…
On hedging American options under model uncertainty
Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American optio…
On utility maximization with derivatives under model uncertainty
Erhan Bayraktar, Zhou Zhou
We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we cons…
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…