Fingerprint Fingerprint is based on mining the text of the persons scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

  • 3 Similar Profiles
Value Function Mathematics
Optimal Stopping Problem Mathematics
Optimal Stopping Mathematics
Lifetime Mathematics
Jump Diffusion Mathematics
Game Mathematics
Viscosity Solutions Mathematics
American Options Mathematics

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Grants 2006 2019

Research Output 2003 2018

  • 867 Citations
  • 17 h-Index
  • 114 Article
  • 4 Conference contribution
  • 1 Review article
1 Citations

Distribution-constrained optimal stopping

Bayraktar, E. & Miller, C. W. Jan 1 2018 (Accepted/In press) In : Mathematical Finance.

Research output: Contribution to journalArticle

Optimal Stopping
Brownian movement
Finance
Dynamic programming
Atoms

Efficient Byzantine Sequential Change Detection

Fellouris, G., Bayraktar, E. & Lai, L. May 1 2018 In : IEEE Transactions on Information Theory. 64, 5, p. 3346-3360 15 p.

Research output: Contribution to journalArticle

Sensors
scenario
simulation
performance
time

Martingale optimal transport with stopping

Bayraktar, E., Cox, A. M. G. & Stoev, Y. Jan 1 2018 In : SIAM Journal on Control and Optimization. 56, 1, p. 417-433 17 p.

Research output: Contribution to journalArticle

Optimal Transport
Optimal Stopping
Stochastic systems
Viscosity Solutions
Dynamic programming

Quantile Hedging in a semi-static market with model uncertainty

Bayraktar, E. & Wang, G. Apr 1 2018 In : Mathematical Methods of Operations Research. 87, 2, p. 197-227 31 p.

Research output: Contribution to journalArticle

Hedging
Model Uncertainty
Quantile
Composite materials
Costs
Forward-backward Stochastic Differential Equations
Dynamic Programming Principle
Dynamic programming
Control Problem
Optimal Control