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  • 4 Similar Profiles
Value function Mathematics
Optimal stopping problem Mathematics
Model Mathematics
Game Mathematics
Lifetime Mathematics
Wealth Business & Economics
Insurance Mathematics
Ruin Business & Economics

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Grants 2006 2019

Research Output 2003 2017

  • 771 Citations
  • 15 Scopus h-Index
  • 107 Article
  • 4 Conference contribution
  • 1 Review article

Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities

Bayraktar, E., Cosso, A. & Pham, H. 2017 In : SIAM Journal on Control and Optimization. 55, 3, p. 1915-1953 39 p.

Research output: Contribution to journalArticle

Switching control
Quasi-variational inequalities
Robust control
Variational inequalities
Nonlinear systems

On an optimal stopping problem of an insider

Bayraktar, E. & Zhou, Z. 2017 In : Theory of Probability and its Applications. 61, 1, p. 129-133 5 p.

Research output: Contribution to journalArticle

Optimal stopping problem
Reflected backward stochastic differential equation
Stopping time
Modulus of continuity
Stochastic optimization

On the Robust Dynkin Game

Bayraktar, E. & Yao, S. Jun 1 2017 In : Annals of Applied Probability. 27, 3, p. 1702-1755 54 p.

Research output: Contribution to journalArticle

Dynkin games
Reflected backward stochastic differential equation
Submartingale
Stopping time
Singularity

On Zero-Sum Optimal Stopping Games

Bayraktar, E. & Zhou, Z. Apr 4 2017 In : Applied Mathematics and Optimization. p. 1-12 12 p.

Research output: Contribution to journalArticle

Dynkin games
Game
Optimal stopping
Zero-sum
Stopping time
Randomization