Erhan Bayraktar : Citation Profile

17

H index

30

i10 index

959

Citations

RESEARCH PRODUCTION:

80

Articles

119

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   22 years (2003 - 2025). See details.
   Cites by year: 43
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 103 (9.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba1177
   Updated: 2025-12-20    RAS profile: 2025-12-09    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Erhan Bayraktar.

Is cited by:

Laeven, Roger (11)

LEHALLE, Charles-Albert (6)

Rady, Sven (3)

Favero, Carlo (3)

Fabozzi, Frank (3)

Gozzi, Fausto (3)

Leung, Tim (3)

Galluccio, Stefano (3)

Siu, Tak Kuen (3)

Moreno-Franco, Harold (3)

Keller, R (3)

Cites to:

Milevsky, Moshe (15)

Кабанов, Юрий (13)

merton, robert (12)

Constantinides, George (9)

Duffie, Darrell (9)

Horst, Ulrich (9)

Nguyen-Huu, Adrien (8)

Hommes, Cars (8)

Brock, William (7)

Detemple, Jerome (6)

Cvitanic, Jaksa (5)

Main data

Where Erhan Bayraktar has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications15
Mathematical Finance11
Insurance: Mathematics and Economics9
North American Actuarial Journal6
Finance and Stochastics5
Mathematical Methods of Operations Research5
International Journal of Theoretical and Applied Finance (IJTAF)4
Applied Mathematical Finance3
Finance Research Letters3
Quantitative Finance2
Annals of Finance2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org116
Finance / University Library of Munich, Germany2

Recent works citing Erhan Bayraktar (2025 and 2024)

YearTitle of citing document
2024Relative Arbitrage Opportunities with Interactions among $N$ Investors. (2024). Ichiba, Tomoyuki ; Yang, Tianjiao. In: Papers. RePEc:arx:papers:2006.15158.

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2024Retirement decision with addictive habit persistence in a jump diffusion market. (2024). Liang, Zongxia ; Guan, Guohui ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2011.10166.

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2024Optimal consumption under a drawdown constraint over a finite horizon. (2024). Li, Xun ; Chen, Xiaoshan ; Yu, Xiang ; Yi, Fahuai. In: Papers. RePEc:arx:papers:2207.07848.

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2024Quantitative Fundamental Theorem of Asset Pricing. (2024). Gudmund, Pammer ; Julio, Backhoff ; Beatrice, Acciaio. In: Papers. RePEc:arx:papers:2209.15037.

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2025On time-consistent equilibrium stopping under aggregation of diverse discount rates. (2023). Yu, Xiang ; Deng, Shuoqing ; Zhang, Jiacheng. In: Papers. RePEc:arx:papers:2302.07470.

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2025An extended Merton problem with relaxed benchmark tracking. (2025). Huang, Yijie ; Yu, Xiang ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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2024Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity. (2024). Carassus, Laurence ; Wiesel, Johannes. In: Papers. RePEc:arx:papers:2306.01503.

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2024The fundamental theorem of asset pricing with and without transaction costs. (2024). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

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2024Interpretable ML for High-Frequency Execution. (2024). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863.

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2024Explicit Computations for Delayed Semistatic Hedging. (2024). Dolinsky, Yan ; Zuk, OR. In: Papers. RePEc:arx:papers:2308.10550.

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2025Sensitivity of robust optimization problems under drift and volatility uncertainty. (2025). Park, Kyunghyun ; Bartl, Daniel ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2311.11248.

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2024Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2024). Wunderlich, Ralf ; Lamert, Kerstin ; Auer, Benjamin R. In: Papers. RePEc:arx:papers:2311.15635.

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2025Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Zhu, Shihao ; Ferrari, Giorgio ; Chen, AN. In: Papers. RePEc:arx:papers:2312.02943.

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2024Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks. (2024). de Felice, Lewis ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2312.14355.

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2025Coherent risk measures and uniform integrability. (2025). Wang, Ruodu ; Huang, Muqiao. In: Papers. RePEc:arx:papers:2404.03783.

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2025Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences. (2024). Park, Kyunghyun ; Chen, Kexin ; Wong, Hoi Ying. In: Papers. RePEc:arx:papers:2406.12305.

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2025Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. (2024). Gang, Tae Ung ; Choi, Jinhyuk. In: Papers. RePEc:arx:papers:2407.13547.

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2025Recursive Optimal Stopping with Poisson Stopping Constraints. (2024). Wu, Zhen ; Xu, Zhenda ; Wei, Wei ; Liang, Gechun. In: Papers. RePEc:arx:papers:2407.17975.

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2024Optimal Ratcheting of Dividends with Irreversible Reinsurance. (2024). Boonen, Tim J ; John, Engel. In: Papers. RePEc:arx:papers:2408.16989.

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2025Risk-indifference Pricing of American-style Contingent Claims. (2024). Sturm, Stephan ; Kumar, Rohini ; Nasralah, Hussein ; Miller, Frederick Forrest. In: Papers. RePEc:arx:papers:2409.00095.

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2024Irreversible investment under weighted discounting: effects of decreasing impatience. (2024). Wei, Wei. In: Papers. RePEc:arx:papers:2409.01478.

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2025Macroscopic properties of equity markets: stylized facts and portfolio performance. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven ; Song, Qien. In: Papers. RePEc:arx:papers:2409.10859.

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2025Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint. (2024). Yu, Xiang ; Yan, Kaixin ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2410.16611.

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2024A dynamic programming principle for multiperiod control problems with bicausal constraints. (2024). Wiesel, Johannes ; Mirmominov, Ruslan. In: Papers. RePEc:arx:papers:2410.23927.

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2024Optimal Execution under Incomplete Information. (2024). Ly, Vathana ; Hafsi, Yadh ; Chevalier, Etienne. In: Papers. RePEc:arx:papers:2411.04616.

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2024A general framework for pricing and hedging under local viability. (2024). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:2411.19206.

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2024Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution. (2024). Xu, Zuo Quan ; Guo, Mingxin. In: Papers. RePEc:arx:papers:2412.11383.

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2025De Finettis problem with fixed transaction costs and regime switching. (2025). Zhou, Xiaowen ; Yan, Kaixin ; Yamazaki, Kazutoshi ; Xu, Zuo Quan ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2502.05839.

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2025Model-independent upper bounds for the prices of Bermudan options with convex payoffs. (2025). Hobson, David ; Norgilas, Dominykas. In: Papers. RePEc:arx:papers:2503.13328.

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2025Generative Market Equilibrium Models with Stable Adversarial Learning via Reinforcement. (2025). Zhang, Zhanhao ; Sun, Qiang ; Shi, Xiaofei ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2504.04300.

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2025Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs. (2025). Sidorenko, Artur. In: Papers. RePEc:arx:papers:2505.01876.

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2025Liquidity provision with $\tau$-reset strategies: a dynamic historical liquidity approach. (2025). Urusov, Andrey ; Berezovskiy, Rostislav ; Kornilov, Andrei ; Krestenko, Anatoly. In: Papers. RePEc:arx:papers:2505.15338.

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2025Robust Hedging of American Options via Aggregated Snell Envelopes. (2025). Rodrigues, Marco. In: Papers. RePEc:arx:papers:2506.14553.

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2025Ranking Quantilized Mean-Field Games with an Application to Early-Stage Venture Investments. (2025). Tchuendom, Rinel Foguen ; Firoozi, Dena ; Breton, Michele. In: Papers. RePEc:arx:papers:2507.00853.

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2025Towards Realistic and Interpretable Market Simulations: Factorizing Financial Power Law using Optimal Transport. (2025). Izumi, Kiyoshi ; Hashimoto, Ryuji. In: Papers. RePEc:arx:papers:2507.09863.

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2025Equilibrium Mean-Variance Dividend Rate Strategies. (2025). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: Papers. RePEc:arx:papers:2508.12047.

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2025Option pricing under non-Markovian stochastic volatility models: A deep signature approach. (2025). Li, Wenyuan ; Wu, Xianglin ; Ma, Jingtang. In: Papers. RePEc:arx:papers:2508.15237.

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2025Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact. (2025). Dolinsky, Yan. In: Papers. RePEc:arx:papers:2509.25472.

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2025Robust Pricing and Hedging of American Options in Continuous Time. (2025). Obl, Jan ; Guo, Ivan. In: Papers. RePEc:arx:papers:2510.05463.

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2025Robust Exploratory Stopping under Ambiguity in Reinforcement Learning. (2025). Park, Kyunghyun ; Wong, Hoi Ying ; Ye, Junyan. In: Papers. RePEc:arx:papers:2510.10260.

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2025Mean-Field Price Formation on Trees: with Multi-Population and Non-Rational Agents. (2025). Fujii, Masaaki. In: Papers. RePEc:arx:papers:2510.11261.

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2025Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method. (2025). Dong, Yuchao ; Zheng, Harry. In: Papers. RePEc:arx:papers:2510.24128.

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2025The Omniscient, yet Lazy, Investor. (2025). , Stanislaw. In: Papers. RePEc:arx:papers:2510.24467.

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2025Deep Neural Operator Learning for Probabilistic Models. (2025). Bayraktar, Erhan ; Feng, QI ; Zhang, Zhaoyu. In: Papers. RePEc:arx:papers:2511.07235.

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2025Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion. (2025). Cao, Jingyi ; Young, Virginia R ; Li, Dongchen ; Zou, Bin. In: Papers. RePEc:arx:papers:2511.08433.

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2025Mean-Field Price Formation on Trees: with Multi-Population and Non-Rational Agents. (2025). Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf606.

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2025Optimal investment-withdrawal strategy for variable annuities under a performance fee structure. (2025). Feng, Runhuan ; Hin, Kenneth Tsz ; Jing, Xiaochen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001957.

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2025Continuous-time persuasion by filtering. (2025). Bonesini, Ofelia ; Ad, Ren ; Callegaro, Giorgia ; Campi, Luciano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000661.

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2024Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations. (2024). Dufera, Tamirat Temesgen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001407.

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2024The equilibrium strategy of insurance companies’ dividends and reinsurance games. (2024). Wang, Yueyang ; Xu, Xin ; Yang, BO ; Yao, Dingjun. In: Economics Letters. RePEc:eee:ecolet:v:245:y:2024:i:c:s016517652400524x.

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2024Dual sourcing under non-stationary demand and partial observability. (2024). Boute, Robert N ; van Staden, Heletje E ; Yee, Hannah. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:94-110.

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2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

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2024A life insurance model with asymmetric time preferences. (2024). Alderborn, Joakim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:17-31.

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2024Short-term stock price trend prediction with imaging high frequency limit order book data. (2024). Ye, Wuyi ; Chen, Pengzhan ; Yang, Jinting. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1189-1205.

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2024Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process. (2024). Yang, Wensheng ; Chen, Dengsheng ; Wang, Chengben. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001537.

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2025Scalable deep reinforcement learning in the non-stationary capacitated lot sizing problem. (2025). van Hezewijk, Lotte ; Dellaert, Nico P ; van Jaarsveld, Willem L. In: International Journal of Production Economics. RePEc:eee:proeco:v:284:y:2025:i:c:s0925527325000866.

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2024Robust investment for insurers with correlation ambiguity. (2024). Zhang, Lihong ; Wang, Hao ; Cheng, Bingqian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:247-257.

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2024Diffusion spiders: Green kernel, excessive functions and optimal stopping. (2024). Salminen, Paavo ; Lempa, Jukka ; Mordecki, Ernesto. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923002016.

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2024A detection problem with a monotone observation rate. (2024). Ekstrom, Erik ; Milazzo, Alessandro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000437.

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2024Optimal stopping of BSDEs with constrained jumps and related zero-sum games. (2024). Perninge, Magnus. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s0304414924000619.

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2024A controller-stopper-game with hidden controller type. (2024). Lindensjo, Kristoffer ; Bodnariu, Andi. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s030441492400067x.

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2025On the saddle point of a zero-sum stopper vs. singular-controller game. (2025). Bovo, Andrea ; de Angelis, Tiziano. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:182:y:2025:i:c:s0304414924002631.

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2025Minimizing the penalized goal-reaching probability with multiple dependent risks. (2025). Huang, Ying ; Peng, Jun. In: Statistics & Probability Letters. RePEc:eee:stapro:v:217:y:2025:i:c:s0167715224002566.

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2025Propagation of chaos for mean-field reflected BSDEs with jumps. (2025). Xu, Kun ; Lin, Yiqing. In: Statistics & Probability Letters. RePEc:eee:stapro:v:221:y:2025:i:c:s0167715225000276.

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2024Lp optimal prediction of the last zero of a spectrally negative Lévy process. (2024). Pedraza, Jose M ; Baurdoux, Erik J. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119468.

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2025Dynamic Modeling of Limit Order Book and Market Maker Strategy Optimization Based on Markov Queue Theory. (2025). Liang, Shenbao ; Hu, Changlong ; Liu, Yang ; Xie, Fei. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:778-:d:1600631.

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2025Numerical Calculation of Finite-Time Ruin Probabilities in the Dual Risk Model. (2025). , Andressa. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:9:p:174-:d:1747289.

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2024Parametric Estimation in Fractional Stochastic Differential Equation. (2024). Ghanam, Ryad A ; Pramanik, Paramahansa ; Boone, Edward L. In: Stats. RePEc:gam:jstats:v:7:y:2024:i:3:p:45-760:d:1439368.

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2025Reinsurance–investment game between two α-maxmin mean–variance insurers. (2025). Fu, Jing ; Zhou, Guoyong ; Zhang, Qian. In: PLOS ONE. RePEc:plo:pone00:0326125.

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2024Pricing interest rate derivatives under volatility uncertainty. (2024). Hlzermann, Julian. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04921-y.

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2024Instabilities in multi-asset and multi-agent market impact games. (2024). Lillo, Fabrizio ; Cordoni, Francesco. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05066-8.

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2024On entropy martingale optimal transport theory. (2024). Frittelli, Marco ; Gianin, Emanuela Rosazza ; Doldi, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-023-00432-y.

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2024Optimal liquidation with high risk aversion and small linear price impact. (2024). Dolinsky, Yan ; Dolinskyi, Leonid. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00435-3.

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2024Planning Problem for Continuous-Time Finite State Mean Field Game with Compact Action Space. (2024). Volkov, Aleksei ; Averboukh, Yurii. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:14:y:2024:i:2:d:10.1007_s13235-023-00492-0.

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2025Some Remarks on Linear-Quadratic Closed-Loop Games with Many Players. (2025). Cirant, Marco ; Redaelli, Davide Francesco. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:15:y:2025:i:2:d:10.1007_s13235-024-00568-5.

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2025Cluster Formation in Iterated Mean Field Games. (2025). Graber, Jameson P ; North, Lindsay ; Morales, Rafael ; Matter, Elizabeth. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:15:y:2025:i:3:d:10.1007_s13235-024-00592-5.

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2025Qualitative financial modelling in fractal dimensions. (2025). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00723-2.

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2024Optimal reinsurance via BSDEs in a partially observable model with jump clusters. (2024). Sgarra, Carlo ; Ceci, Claudia ; Callegaro, Giorgia ; Brachetta, Matteo. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-023-00523-z.

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2024Optimal investment in a large population of competitive and heterogeneous agents. (2024). Zhou, Xuchen ; Tangpi, Ludovic. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-023-00527-9.

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2024Duality in optimal consumption–investment problems with alternative data. (2024). Chen, Kexin ; Wong, Hoi Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00535-3.

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2025Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity. (2025). Wiesel, Johannes ; Carassus, Laurence. In: Finance and Stochastics. RePEc:spr:finsto:v:29:y:2025:i:2:d:10.1007_s00780-025-00558-4.

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2024Convergence of Weak Euler Approximation for Nondegenerate Stochastic Differential Equations Driven by Point and Martingale Measures. (2024). Zhang, Changyong ; Mikuleviius, Remigijus. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:1:d:10.1007_s10959-023-01260-x.

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2024A Robust $$\alpha $$ α -Stable Central Limit Theorem Under Sublinear Expectation without Integrability Condition. (2024). Jiang, Lianzi ; Liang, Gechun. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:3:d:10.1007_s10959-023-01298-x.

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2025Portfolio time consistency and utility weighted discount rates. (2025). Pirvu, Traian A ; Mbodji, Oumar. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:19:y:2025:i:2:d:10.1007_s11579-025-00382-6.

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2025On non-negative auto-correlated integer demand processes. (2025). Jaarsveld, Willem L ; Dellaert, Nico P ; Hezewijk, Lotte. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:2:d:10.1007_s00186-025-00888-1.

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2025Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2025). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:2:d:10.1007_s00186-025-00889-0.

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2024Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown. (2024). Deng, Yingchun ; Liu, Yakun ; Zhou, Jieming. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:3:d:10.1007_s11009-024-10096-9.

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2024Optimal Investment-reinsurance Strategies for an Insurer with Options Trading Under Model Ambiguity. (2024). Liu, Bing ; Yin, Weijun ; Chen, Cuixia ; Qian, Tong. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10110-0.

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2025Quickest Change-point Detection Problems for Multidimensional Wiener Processes. (2025). Stoev, Yavor I ; Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:1:d:10.1007_s11009-024-10124-8.

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2025Mean-Field Price Formation on Trees: with Multi-Population and Non-Rational Agents. (2025). Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2025cf1261.

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Works by Erhan Bayraktar:

YearTitleTypeCited
2010Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control In: Papers.
[Full Text][Citation analysis]		paper7
2011Proving regularity of the minimal probability of ruin via a game of stopping and control.(2011) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2008Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin In: Papers.
[Full Text][Citation analysis]		paper0
2008Mutual fund theorems when minimizing the probability of lifetime ruin.(2008) In: Finance Research Letters.
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2013A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance In: Papers.
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2018Quantile Hedging in a semi-static market with model uncertainty.(2018) In: Mathematical Methods of Operations Research.
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2015Doubly reflected BSDEs with integrable parameters and related Dynkin games.(2015) In: Stochastic Processes and their Applications.
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2016Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming In: Papers.
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2016Optimally investing to reach a bequest goal.(2016) In: Insurance: Mathematics and Economics.
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2017Optimal stopping with random maturity under nonlinear expectations.(2017) In: Stochastic Processes and their Applications.
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2016Optimal Investment to Minimize the Probability of Drawdown In: Papers.
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2016Minimizing the probability of lifetime drawdown under constant consumption.(2016) In: Insurance: Mathematics and Economics.
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2018Mini-Flash Crashes, Model Risk, and Optimal Execution In: Papers.
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2007Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio In: Papers.
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2008Pricing options in incomplete equity markets via the instantaneous Sharpe ratio.(2008) In: Annals of Finance.
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2009On the perpetual American put options for level dependent volatility models with jumps.(2009) In: Quantitative Finance.
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2007Correspondence between lifetime minimum wealth and utility of consumption.(2007) In: Finance and Stochastics.
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2008Optimizing venture capital investments in a jump diffusion model.(2008) In: Mathematical Methods of Operations Research.
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2009Minimizing the lifetime shortfall or shortfall at death.(2009) In: Insurance: Mathematics and Economics.
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2010A unified treatment of dividend payment problems under fixed cost and implementation delays.(2010) In: Mathematical Methods of Operations Research.
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2008Optimal time to change premiums.(2008) In: Mathematical Methods of Operations Research.
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2007The effects of implementation delay on decision-making under uncertainty.(2007) In: Stochastic Processes and their Applications.
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2007Minimizing the probability of lifetime ruin under borrowing constraints.(2007) In: Insurance: Mathematics and Economics.
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2025On Time‐Inconsistency in Mean‐Field Games In: Mathematical Finance.
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2003Consistency Problems For Jump-Diffusion Models.(2003) In: Finance.
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