5 citations · 5 across the 3 of their papers we have counts for
3 papers
math.OC2016
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…
math.OC2016
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…
math.PR2014★ 5 cited
Stochastic Perron for stochastic target games
Erhan Bayraktar, Jiaqi Li
We extend the stochastic Perron method to analyze the framework of stochastic target games, in which one player tries to find a strategy such that the state process almost surely r…